My best thoughts on priors

My best thoughts on priors (also the thoughts of some other contributors) are at the Prior Choice Recommendations wiki.

And this more theoretical paper should be helpful too.

I sent these links in response to a question from Zach Branson about priors for Gaussian processes. Jim Savage also pointed to our paper on simulation-based calibration of Bayesian models.

I don’t have so much experience with GP’s, but I agreed that you have to be careful about the nonidentifiable region, as I became aware when doing this mini-project which I never wrote up except on the blog. The discussion thread at that link is interesting.