Optimal compromise between incompatible conditional probability distributions, with application to Objective Bayesian Kriging
  Models are often defined through conditional rather than joint distributions,
but it can be difficult to check whether the conditional distributions are
compatible, i.e. whether there exists a joint probability distribution which
generates them. When they are compatible, a Gibbs sampler can be used to sample
from this joint distribution. When they are not, the Gibbs sampling algorithm
may still be applied, resulting in a "pseudo-Gibbs sampler". We show its
stationary probability distribution to be the optimal compromise between the
conditional distributions, in the sense that it minimizes a mean squared misfit
between them and its own conditional distributions. This allows us to perform
Objective Bayesian analysis of correlation parameters in Kriging models by
using univariate conditional Jeffreys-rule posterior distributions instead of
the widely used multivariate Jeffreys-rule posterior. This strategy makes the
full-Bayesian procedure tractable. Numerical examples show it has near-optimal
frequentist performance in terms of prediction interval coverage.
