Suppose that $x\in R^1$, $y\in R^1$ $y\in [-30,30]$ and $P(y|x) \sim N(y; x,\sigma_x)$. If I were to choose $P(x) \sim N(x;0,\sigma_p)$ and observe a single $y$ value, my MAP estimate of $x$ would be
$$\frac{\frac{y}{\sigma_x}}{\frac{1}{\sigma_x}+\frac{1}{\sigma_p}}$$ or
$$ \frac{y}{1+\frac{\sigma_x}{\sigma_p}}$$
since the denominator is always a constant greater than 1, the estimate is always the $y$ value divided by a constant that biases it towards 0. Is there a way for me to choose a prior such that the MAP estimate would be some form of $y$ that is biased away from 0?
e.g. If $y$ is -5, MAP estimate of $x$ should be a bit more negative than -5. If $y$ is 5, MAP estimate of $x$ should be a bit more positive than 5.
Also, the MAP estimate should have an analytical expression.
Much thanks in advance!! Also, the more options the better!
edit:
This should work for any value of $y$ and the prior needs to be chosen before seeing $y$
- This should work for any value of $y$ and the prior needs to be chosen before seeing $y$.
- sorry made a mistake,instead of $y\in R^1$, $y\in [-30,30]$. As long as it's bounded by a negative number and a positive number it would work fine.