Divergent priors are improper when defined on unbounded supports. Bartlett's paradox has been taken to imply that using improper priors results in ill-defined Bayes factors, preventing model comparison by posterior probabilities. However many improper priors have attractive properties that...

In recent years state space models, particularly the linear Gaussian version, have become the standard framework for analyzing macro-economic and financial data. However, many heoretically motivated models imply non-linear or non-Gaussian specifications – or both. Existing methods for...