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Sep 3 at 11:31 comment added CoilyUlver Thank you for your answer (6 months later). In case of improper prior (like Jeffrey prior for the variance for Gaussian linear model), the posterior is well defined using Bayes formula but using the definition above the KL divergence essentilly blow up. Is there a still a way to use this definition for improper prior?
Dec 15, 2023 at 4:07 history edited Michael Hardy CC BY-SA 4.0
added 46 characters in body
Dec 14, 2023 at 15:47 history answered Iosif Pinelis CC BY-SA 4.0