Extensions of the conjugate prior through the Kullback-Leibler separators

Takemi Yanagimoto, Toshio Ohnishi

研究成果: ジャーナルへの寄稿学術誌査読

4 被引用数 (Scopus)

抄録

The conjugate prior for the exponential family, referred to also as the natural conjugate prior, is represented in terms of the Kullback-Leibler separator. This representation permits us to extend the conjugate prior to that for a general family of sampling distributions. Further, by replacing the Kullback-Leibler separator with its dual form, we define another form of a prior, which will be called the mean conjugate prior. Various results on duality between the two conjugate priors are shown. Implications of this approach include richer families of prior distributions induced by a sampling distribution and the empirical Bayes estimation of a high-dimensional mean parameter.

本文言語英語
ページ(範囲)116-133
ページ数18
ジャーナルJournal of Multivariate Analysis
92
1
DOI
出版ステータス出版済み - 1月 2005
外部発表はい

!!!All Science Journal Classification (ASJC) codes

  • 統計学および確率
  • 数値解析
  • 統計学、確率および不確実性

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