Gutiérrez-Peña, Eduardo; Muliere, Pietro - In: Scandinavian Journal of Statistics 31 (2004) 2, pp. 235-246
It is well known that Jeffreys' prior is asymptotically least favorable under the entropy risk, i.e. it asymptotically maximizes the mutual information between the sample and the parameter. However, in this paper we show that the prior that minimizes (subject to certain constraints) the mutual...