2018/12/04 by Taraldsen, Gunnar, Tufto, Jarle, Lindqvist, Bo H.
#Bayesian inference (62F15) #Bayesian problems and characterization of Bayes procedures (62C10) #FOS: Mathematics #Foundations and philosophical topics (62A01) #Statistics Theory (math.ST)
paper · doi:10.48550/arxiv.1812.01314
In 1933 Kolmogorov constructed a general theory that defines the modern concept of conditional probability. In 1955 Renyi fomulated a new axiomatic theory for probability motivated by the need to include unbounded measures. We introduce a general concept of conditional probability in Renyi spaces. In this theory improper priors are allowed, and the resulting posteriors can also be improper.