Reference priors for exponential families with simple quadratic variance function
Reference analysis is one of the most successful general methods to derive noninformative prior distributions. In practice, however, reference priors are often difficult to obtain. Recently developed theory for conditionally reducible natural exponential families identifies an attractive reparameterization which allows one, among other things, to construct an enriched conjugate prior. In this paper, under the assumption that the variance function is simple quadratic, the order-invariant group reference prior for the above parameter is found. Furthermore, group reference priors for the mean- and natural parameter of the families are obtained. A brief discussion of the frequentist coverage properties is also presented. The theory is illustrated for the multinomial and negative-multinomial family. Posterior computations are especially straightforward due to the fact that the resulting reference distributions belong to the corresponding enriched conjugate family. A substantive application of the theory relates to the construction of reference priors for the Bayesian analysis of two-way contingency tables with respect to two alternative parameterizations.
Year of publication: |
2004
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Authors: | Consonni, Guido ; Veronese, Piero ; Gutiérrez-Peña, Eduardo |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 88.2004, 2, p. 335-364
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Publisher: |
Elsevier |
Keywords: | Bayesian inference Conditional reducibility Contingency table Enriched conjugate prior Multinomial family Negative-multinomial family Noninformative prior |
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