Thursday, June 20, 2013

A little addendum to the compendium of conjugate priors

The excellent "Compendium of Conjugate Priors" by Daniel Fink contains a little typo in equation (122) for the posterior of Athreya's conjugate distribution to the normal. Made a note here lest it trip someone else up. This arises when a modified inverse gauss distribution looking something like a gamma distribution P(ν;α,β,γ)ναeβνγν
is used as the marginal distribution for the variance parameter of a normal distribution whose mean and variance are unknown; and when the conditional mean of that distribution is given by P(m;ν,α,β,γ,τ,μ)1νe1ντ(mμ)
to create a five parameter prior distribution for both mean m and variance ν of the normal distribution parameters proportional to P(m,ν;α,β,γ,τ,μ)να12eβνγν e1ντ(mμ)
Upon observation of n independent samples {xi}ni=1 presumably drawn from said distribution the posterior distribution takes the same form provided we update the parameters as follows α=αn2β=β+12ni=1(xiˉx)2++n2(ˉxμ)21+nτμ=μ+τnˉx1+nττ=τ1+nτγ=γ
where ˉx is the mean of {xi}ni=1. The mentioned paper contains a mistake in the update for β.

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