Sets of priors reflecting prior-data conflict and agreement

DOI10.1007/978-3-319-40596-4_14MaRDI QIDQ5115735zbMATH OpenOpenAlexFDO

Authors Gero Walter, Frank P. A. Coolen

Publication date 18 August 2020

Published in Information Processing and Management of Uncertainty in Knowledge-Based Systems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1610.07217

zbMATH Keywords

Bayesian inferenceimprecise probabilityconjugate priorsprior-data conflictstrong prior-data agreement

Mathematics Subject Classification ID

Reasoning under uncertainty in the context of artificial intelligence (68T37)

Abstract: In Bayesian statistics, the choice of prior distribution is often debatable, especially if prior knowledge is limited or data are scarce. In imprecise probability, sets of priors are used to accurately model and reflect prior knowledge. This has the advantage that prior-data conflict sensitivity can be modelled: Ranges of posterior inferences should be larger when prior and data are in conflict. We propose a new method for generating prior sets which, in addition to prior-data conflict sensitivity, allows to reflect strong prior-data agreement by decreased posterior imprecision.

Recommendations

• Imprecision and prior-data conflict in generalized Bayesian inference
• Checking for prior-data conflict
• The conflict between improper priors and robustness
• Bayesian revision of a prior given prior-data conflict, expert opinion, or a similar insight: a large-deviation approach
• Inference after checking multiple Bayesian models for data conflict and applications to mitigating the influence of rejected priors

Cites work

• scientific article; zbMATH DE number 48344 (Why is no real title available?)
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• Checking for prior-data conflict
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Cited in

(2)

• The effect of prior probabilities on quantification and propagation of imprecise probabilities resulting from small datasets
• Imprecision and prior-data conflict in generalized Bayesian inference

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