On divergence measures leading to jeffreys and other reference priors

Abstract

The paper presents new measures of divergence between prior and posterior which are maximized by the Jeffreys prior. We provide two methods for proving this, one of which provides an easy to verify suffcient condition. We use such divergences to measure information in a prior and also obtain new objective priors outside the class of Bernardo's reference priors. © 2014 International Society for Bayesian Analysis.