David Huk, Lorenzo Pacchiardi, Ritabrata Dutta and Mark Steel's contribution to the Discussion of ‘Martingale posterior distributions’ by Fong, Holmes and Walker
Huk、Pacchiardi、Dutta 与 Steel 对《鞅后验分布》的讨论
We congratulate the authors for this thought-provoking paper. The recursive definition of the predictive distributions through a bivariate copula (Section 4) depends on a hyperparameter ρ, which the authors tune by minimising the prequential log-score −∑i=1nlogpi−1(yi) (Section 4.5.2). The prequential framework nicely connects with the predictive resampling approach used later. However, other strictly proper scoring rules (Gneiting & Raftery, 2007) could be used in place of…