A harmonic property of right invariant priors

Abstract

It is shown that, on any Lie group, the density ratio of the right invariant measure to the left invariant measure is harmonic with respect to the left invariant Riemannian metric. This result is applied to the Bayesian prediction theory on group invariant statistical models. A method of constructing Bayesian prior distributions that asymptotically dominate the right invariant priors is provided.