5
$\begingroup$

The Normal-inverse-Wishart distribution is a conjugate prior for the multivariate normal distribution when the mean and covariance are unknown. I understand that conjugate priors are mathematically convenient but are there specific applications where the justification for using the Normal-inverse-Wishart distribution prior goes beyond convenience?

$\endgroup$
1

1 Answer 1

2
$\begingroup$

One application is the Gibbs Sampling from a Dirichlet Process mixture model, where a conjugate prior is required. See page 33 of the pdf below

https://www.cs.cmu.edu/~kbe/dp_tutorial.pdf

$\endgroup$
1
  • 1
    $\begingroup$ Hi @George, welcome to XV. OP seems to be asking about when conjugacy's justification goes beyond its being required or convenience. $\endgroup$
    – Taylor
    Sep 6, 2018 at 21:00

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.