# How concerned should I be about the appropriateness of my prior?

As I understand it, selecting a prior provides something of a starting point for your analysis. From there, the distribution is shaped by the observed data. Obviously, the more data you observe, the more discrepancy is possible between the prior and posterior distributions (especially if the selected prior is inappropriate). As a result, it would seem to make sense that, for some large n, the selection of a prior is essentially irrelevant because the observed data will overwhelm the prior. Is this, in fact, the case? If so, does this actually occur in practice (or does that value of n need to be so ridiculously large that the point is purely theoretical)?

The underlying problem that I’m facing is that if I have m data points and I’m concerned about the appropriateness of my prior, what are some tools at my disposal to determine if my concern is legitimate?

Note: I realize that this question is very theoretical and that a concrete answer isn’t really possible (I’m sure a lot of this depends on the types of distributions, how inappropriate the prior is, etc.), so I’m worried that this might violate the condition that questions must be “practical, answerable questions based on actual problems you face.” If this is the case, please let me know. I’m new to the site and don’t really have a firm grasp on the etiquette yet…

• You are right that the prior becomes irrelevant when you have large $n$. What is the sample size here? Jan 16, 2013 at 14:57
• @Macro In the ballpark of 10,000. Jan 16, 2013 at 15:03
• I strongly suspect that, with a sample size like that, the prior will have almost no influence. An exception to this would be if there are feasible areas of the parameter space where the prior has 0 mass. I'd suggest trying different priors and seeing how your estimator changes as a way to empirically see how much it matters. Jan 16, 2013 at 15:05
• Sensitivity testing definitely makes sense, and I suppose it's probably the best bet given the variability in scenarios (your exception regarding 0 mass). Thanks for your input! Jan 16, 2013 at 15:18
• To pull out Macro's zero comment (+1 to him) for future readers: if the prior has 0 mass (probability) at some point, no amount of data can ever raise it above zero, since 0 times anything is still zero. Zero is a harsh limit in a prior, reserved for areas of the parameter space that you want to totally eliminate as a possibility. Feb 14, 2016 at 15:02

For some prior distributions there's a concept of "prior sample size": if your prior sample size is $n_p$ and you have $n$ observations, then the posterior is in some sense a weighted average of the prior and data, weighted with $n_p$ and $n$ respectively. The easiest place to see this is when the Beta distribution is used as a prior for the Binomial distribution, where the prior sample size is $\alpha+\beta$. If I use a $\operatorname{Beta}(4,1)$ prior, that's sort of like saying that I believe my prior information is as good as 5 observations, and I expect success 80% of the time. If I then observe 5 data points (say 3 successes, 2 failures) my posterior will then be $\operatorname{Beta}(7,3)$--now my posterior is worth 10 observations (5 prior + 5 data), with a mean of .7. The prior is still pretty strongly weighted here. But if I observe 500 observations then my prior is basically irrelevant, because my data sample size is 100 times as large as my prior sample size.
On the other hand, I could use a $\operatorname{Beta}(8000,2000)$ prior. In this case, even if I observed 5000 data points, my posterior is still mostly determined by my prior.