A characterization of conjugate priors in exponential families with application to inverse regression

It is often convenient to assume that X and X|Y are in the same exponential family. By considering X as the “parameter” and Y as the “data”, the problem becomes determining which exponential families X|Y have conjugate priors. We develop a necessary condition for conjugacy. One-dimensional exponential families can be conjugate only if they have exactly two support points.

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Year of publication:	2013
Authors:	Luo, Wei ; Altman, Naomi S.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 2, p. 650-654
Publisher:	Elsevier
Subject:	Discrete distribution \| Hölder’s inequality \| Dimension reduction

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039944