# Questions tagged [jeffreys-prior]

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### Information Theoretical optimality of Jeffreys Prior?

Given a "conditional distribution" $f(x|\theta)$ and its corresponding Jeffreys prior $r(\theta)$, is there some information theoretic sense (in terms of quantities like mutual information) ...
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### Jeffreys prior on invariant likelihoods

For a likelihood $p(y | \theta)$ and pdf $f(y)$: Suppose that a likelihood is location invariant i.e. $p(y | \theta) = f(y - \theta)$ Show that the Jeffreys prior is of the form $p(θ) ∝ 1$. I ...
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### What is the relation behind Jeffreys Priors and a variance stabilizing transformation?

I was reading about the Jeffreys prior on wikipedia: Jeffreys Prior and saw that after each example, it describes how a variance-stabilizing transformation turns the Jeffreys prior into a uniform ...
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### Posterior distribution for Gamma scale parameter under the Jeffreys prior

What is the posterior distribution for parameter $b$ with $X \sim Gamma(a,b)$, under the Jeffreys prior? We can assume that $a$ is known. The Jeffreys prior is the square of the Fisher information ...
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### Is Independent jeffreys prior different from independent reference prior?

I have a model involving two scalar parameters $\theta_1$ and $\theta_2$ and derived the Jeffreys prior for $\theta_1$ and $\theta_2$ independently (so for, e.g. $\pi(\theta_1)$, setting in the ...
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### Parametrisation invariance/covariance of the Jeffreys prior

I've been trying to understand what exactly is meant by parametrisation invariance of the Jeffreys prior. Already I've read here that invariance is technically not the best term to use, and that it'...
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### Jeffreys Prior for normal distribution with unknown mean and variance

I am reading up on prior distributions and I calculated Jeffreys prior for a sample of normally distributed random variables with unknown mean and unknown variance. According to my calculations, the ...
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### Example for a prior, that unlike Jeffreys, leads to a posterior that is not invariant

I am reposting an "answer" to a question that I had given some two weeks ago here: Why is the Jeffreys prior useful? It really was a question (and I did not have the right to post comments at the time,...
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### How to construct “reference priors”?

I have been reading about noninformative priors. Two of the most popular priors of this kind seem to be the Jeffreys prior and the reference prior. The Jeffreys prior has a clear construction, being ...