Fully Bayesian spline smoothing and intrinsic autoregressive priors

There is a well‐known Bayesian interpretation for function estimation by spline smoothing using a limit of proper normal priors. The limiting prior and the conditional and intrinsic autoregressive priors popular for spatial modelling have a common form, which we call partially informative normal. We derive necessary and sufficient conditions for the propriety of the posterior for this class of partially informative normal priors with noninformative priors on the variance components, a condition crucial for successful implementation of the Gibbs sampler. The results apply for fully Bayesian smoothing splines, thin‐plate splines and L‐splines, as well as models using intrinsic autoregressive priors.