# Questions tagged [prior]

In Bayesian statistics a prior distribution formalizes information or knowledge (often subjective), available before a sample is seen, in the form of a probability distribution. A distribution with large spread is used when little is known about the parameter(s), while a more narrow prior distribution represents a greater degree of information.

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### What methods can be used to specify priors from data?

Background I am generally interested in learning appropriate methods of using data to specify priors. A previous question asks how to elicit priors from experts and received some good recommendations....
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### Interpreting prior and posterior

I am bit puzzled on how we can interpret the posterior. Assume a coin which is 0.1 probable to be unfair. So our prior probability on the coin being unfair is 0.1, and being fair is 0.9. Also by ...
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### Definition of improper priors

If a prior integrates to a finite constant that is not 1, is it still considered proper? Is a prior only improper if it integrates to an nonfinite value?
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### When a prior distribution would not be overwhelmed by data, regardless of the sample size?

I came across a question 8 at the end of chapter 3 of the book: "Give two simple examples showing a case in which a prior distribution would not be overwhelmed by data, regardless of the sample size"...
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### Ratio of Gamma distributed variables with different parameters

I encounter a problem which I thought I can handle, however, I struggle a lot with finding a solution: The following setting applies: I want to compute the posterior probability of an event, which is ...
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### What are the properties of a half Cauchy distribution?

I am currently working on a problem, where I need to develop a Markov chain Monte Carlo (MCMC) algorithm for a state space model. To be able to solve the problem, I have been given the following ...
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### Posterior very different to prior and likelihood

If the prior and the likelihood are very different from each other, then sometimes a situation occurs where the posterior is similar to neither of them. See for example this picture, which uses normal ...
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### What is/are the implicit priors in frequentist statistics?

I've heard the notion that Jaynes claims frequentists operate with an "implicit prior". What is or are these implicit priors? Does this mean frequentist models are all special cases of Bayesian ...
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### How do Bayesian Statistics handle the absence of priors?

This question was inspired by two recent interactions I had, one here in CV, the other over at economics.se. There, I had posted an answer to the well-known "Envelope Paradox" (mind you, not as the "...
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### When should I be worried about the Jeffreys-Lindley paradox in Bayesian model choice?

I am considering a large (but finite) space of models of varying complexity which I explore using RJMCMC. The prior on the parameter vector for each model is fairly informative. In what cases (if any)...
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### Softmax regression bias and prior probabilities for unequal classes

I'm using Softmax regression for a multi-class classification problem. I don't have equal prior probabilities for each of the classes. I know from Logistic Regression (softmax regression with 2 ...
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### What is the relation behind Jeffreys Priors and a variance stabilizing transformation?

I was reading about the Jeffreys prior on wikipedia: Jeffreys Prior and saw that after each example, it describes how a variance-stabilizing transformation turns the Jeffreys prior into a uniform ...
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### Jeffreys Prior for normal distribution with unknown mean and variance

I am reading up on prior distributions and I calculated Jeffreys prior for a sample of normally distributed random variables with unknown mean and unknown variance. According to my calculations, the ...
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### Allow data to dictate the priors and then run the model using these priors? (e.g., data-driven priors from same data set)

It is my understanding that we should not be allowing the same data set we are analyzing to drive/define what the prior distributions look like in a Bayesian analysis. Specifically, it is ...
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### Choosing non-informative priors

I am working on a model relying on an ugly parametrized function acting as a calibration function on a part of the model. Using a Bayesian setting, I need to get non-informative priors for the ...
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### How do I combine multiple prior components and a likelihood?

Lets imagine I am comparing two groups of animals (treatment/control). There is previous data from cell cultures indicating the treatment should have a positive effect. This gives me "prior component ...
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### Use of prior and posterior predictive distributions?

I understand the prior and posterior distributions and I have read what the prior and posterior predictive distributions are. However, I don't really see the point of knowing them. Knowing more ...
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### Intuition regarding Bayesian pseudo-priors

One approach to model comparison in a Bayesian framework uses a Bernoulli indicator variable to indicate which of two models is likely to be the "true model". When applying MCMC-based tools for ...
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### Hyperprior distributions for the parameters (scale matrix and degrees of freedom) of a wishart prior to an inverse covariance matrix

I'm estimating several inverse covariance matrices of a set of measurements across different subpopulations using an wishart prior in jags/rjags/R. Instead of specifying a scale matrix and degrees ...
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### Incorporating Prior Class Probability Distribution in Logistic Regression

I am amazed that I can not find any articles / lectures about how one can incorporate Prior Class Probability Distributions in classifiers like Logistic Regression or Random Forest. So my question ...
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### Why not use Beta(1,1) as boundary avoiding prior on a transformed correlation parameter?

In Bayesian Data Analysis, chapter 13, page 317, second full paragraph, in the modal and distributional approximations, Gelman et al. write: If the plan is to summarize inference by the posterior ...
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### Hyper-prior for negative binomial in hierarchical model using JAGS/BUGS

Below I'm using a negative binomial because it is more flexible than a simple poisson model. The data are counts $y$ of events for 16 individuals $x$. There are 14 counts (i.e. counting periods) for ...
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### MAP estimation as regularisation of MLE

Going through the Wikipedia article on Maximum a posteriori estimation, it got confusing after reading this: It is closely related to the method of maximum likelihood (ML) estimation, but employs ...
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### Shrinkage priors

I am building a Bayesian model where I to put shrinkage priors such as spike and slab, horseshoe prior, etc on some parameters for feature selection, but I am not able to decide which one is the best. ...
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### Gaussian Processes, Prior function of constant, Linear and Polynomial Kernel

In my university course slide, regarding the exponential and Gaussian kernel there are these two relevant pictures. They show the prior function of each kernel: You can see that the resulting prior ...
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### Uniform vs Beta(1,1) prior

Is there any difference in applying a uniform prior or a Beta(1,1) prior for your Bayesian analysis ?In which conditions is one preferred over the other ?
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### Posterior of the linear regression model with g-Prior

Assume a linear model of the form $$Y=X\beta+\epsilon$$ where $\epsilon$ has a multivariate Normal distribution with mean $0_N$ and covariance matrix $\sigma^2 I_N$. I would like to perform simple of ...
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### Can the posterior mean always be expressed as a weighted sum of the maximum likelihood estimate and the prior mean?

See this question. Is this always true? Can the posterior mean always be expressed as a weighted sum of the maximum likelihood estimate and the prior mean (after choosing some appropriate prior)?
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### Difference between random effect and fixed effect with regularization/prior

Let's say I have a random effect intercept. For example: lme4::lmer(yield ~ 1 + (1|Batch)) How is that different than just ordinary regression using ...
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### Risk and posterior expectation Bayesian Statistics

Consider $x\sim B(n,\theta)$ with $n$ known a)If $\pi(\theta)\sim Beta(\sqrt{n}/2,\sqrt{n}/2)$ give the associated posterior distribution and posterior expectation $\delta^\pi(x)$ b)Show ...
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### Conjugate priors for Gamma distribution of unknown $\alpha$ and $\beta$

Per the Wikipedia on conjugate priors link, the conjugate prior for a Gamma of unknown $\alpha$ and $\beta$ is proportional to an expression involving both $\alpha$ and $\beta$ as well as a $\Gamma$ ...
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### Why Does the $\propto$ Symbol Replace the $=$ Symbol When Using Bayes' Rule to Convert Posterior Density to Unnormalised Posterior Density?

My textbook says the following: In order to make probability statements about $\theta$ given $y$, we must begin with a model providing a joint probability distribution for $\theta$ and $y$. The ...
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### Jeffreys prior for geometric distribution?

What is the Jeffreys prior for the geometric distribution?
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### Gaussian likelihood + which prior = Gaussian Marginal?

Given a Gaussian likelihood for a sample $y$ like $$p(y|\theta) = \mathcal{N}(y;\mu(\theta),\Sigma(\theta))$$ with $\Theta$ being the parameter space and $\mu(\theta)$, $\Sigma(\theta)$ arbitrary ...
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### half-cauchy prior for scale parameter

I am looking for a prior for a scale parameter for which I have prior knowledge such that: "$\sigma$ typically does not exceed 100." ("typically" meaning that occasionnally this can happen). In such ...