On priors with a Kullback-Leibler property

In this paper, we highlight properties of Bayesian models in which the prior puts positive mass on all Kullback-Leibler neighborhoods of all densities. These properties are concerned with model choice via the Bayes factor, density estimation and the maximization of expected utility for decision problems. In four illustrations we focus on the Bayes factor and show that whatever models are being compared, the [log(Bayes factor)]/[sample size] converges to a non-random number which has a nice interpretation. A parametric versus semiparametric model comparison provides a fifth illustration.