Accession Number : ADA132303

Title :   Enriched Multinormal Priors Revisited.

Descriptive Note : Research rept.,


Personal Author(s) : Jewell,William S

PDF Url : ADA132303

Report Date : Nov 1982

Pagination or Media Count : 50

Abstract : In a 1974 paper, the author indicated how natural conjugate priors for multi-dimensional exponential family likelihoods could be enriched in certain cases through linear transformations of independent marginal priors. In particular, it was shown how the usual Normal-Wishart prior for the multinormal distribution with unknown mean vector and precision matrix could have the number of hyperparameters increased; thinness of the traditional prior is well-known. The new, linearly-dependent prior leads to full-dimensional credibility prediction formulae for the observational mean vector and covariance matrix, as contrasted with the simpler, self-dimensional forecasts obtained in prior literature. However, there was an error made in the sufficient-statistics term of the covariance predictor which is corrected in this work. In addition, this paper explains in detail the properties of the enriched multinormal prior and why revised statistics are needed, and interprets the important relationship between the linear transformation matrix and the matrix of credibility time constants. An enumeration of the additional number of hyperparameters needed for the enriched prior shows its value in modelling multinormal problems; it is shown that the estimation of these hyperparameters can be carried out in a natural way, in the space of the observable variables. (Author)

Descriptors :   *Multivariate analysis, *Exponential functions, Bayes theorem, Mathematical prediction, Covariance, Matrices(Mathematics), Transformations(Mathematics), Random variables, Distribution functions, Errors, Corrections

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE