# Can I use one conjugate prior for samples from two normal distributions with same variance but different mean?

I have got a set $\{Y_t\}$ of observations consisting of two subsets $\{Y_{t,1}\}$ and $\{Y_{t,2}\} \subset \{Y_t\}$ with $\{Y_{t,1}\} \sim \mathcal{N}(\mu_1,\sigma^2)$ and $\{Y_{t,2}\} \sim \mathcal{N}(\mu_2,\sigma^2)$ i.e. different means but the same variance (resulting from a regime switching model).

I know the means and want to draw a sample of $\sigma^2$ in a step of a MCMC estimation.

In the case of $\mu_1 = \mu_2$ I would have used the conjugate prior of the Inverse Gamma distribution (see , "Normal with known mean").

Can I use a conjugate prior in the case of $\mu_1 \neq \mu_2$ as well? For example by setting $\beta = \beta_0 + \frac{1}{2}\sum_{i=0}^n(Y_i - \mu_{I_i})^2$ ($I_i$ being the correct indices according to the observations)?

Or will I have to use Metropolis-Hastings to get my sample of $\sigma^2$?

Best, Matt

• This is a Gaussian linear model and there is a conjugate family of priors. The Jeffreys prior belongs to this family and this is the one we commonly use (and this is not the proposal of @DavidR) – Stéphane Laurent Feb 10 '14 at 13:41
• Sorry for ignoring your answer, Stéphane, I unfortunately didn't see it until now. How would you apply the Jeffreys prior to my problem and in which ways would it be preferrable to the Inverse Gamma prior? – Matt Mar 3 '14 at 11:53

Centering your set of ${Y_t}$ (i.e. ${Y_t^\ast} = {Y_t} - \mu_{I_i}$) has no influence on the variance. Therefore using centred data and a Inverse Gamma prior $IG(\alpha_0, \beta_0)$ results in an Inverse Gamma posterior with parameters $\alpha_0 + n/2$ and $\beta_0 + \frac{1}{2} \sum_{i=0}^n (Y_i - \mu_{I_i})^2$, which is equivalent to your idea (apart from the $^2$ you probably just forgot).
alpha <- alpha0 + length(y_centred)/2

• Thank you, David. I am using MCMC as there is a second set of observations that is linked to the $Y_t$ by a function of $\sigma^2$. Therefore the sample from the conjugate-Inverse Gamma prior is used as an input for a Metropolis-Hastings step connecting this second set of observations. – Matt Feb 10 '14 at 13:16