A Study on the Power Parameter in Power Prior Bayesian Analysis
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Abstract: The power prior and its variations have been proven to be a useful class of informative priors in Bayesian inference due to their flexibility in incorporating the historical information by raising the likelihood of the historical data to a fractional power {delta}. The derivation of the marginal likelihood based on the original power prior,and its variation, the normalized power prior, introduces a scaling factor C({delta}) in the form of a prior predictive distribution with powered likelihood. In this paper, we show that the scaling factor might be infinite for some positive {delta} with conventionally used initial priors, which would change the admissible set of the power parameter. This result seems to have been almost completely ignored in the literature. We then illustrate that such a phenomenon may jeopardize the posterior inference under the power priors when the initial prior of the model parameters is improper. The main findings of this paper suggest that special attention should be paid when the suggested level of borrowing is close to 0, while the actual optimum might be below the suggested value. We use a normal linear model as an example for illustrative purposes.
Cites work
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- scientific article; zbMATH DE number 3983087 (Why is no real title available?)
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Cited in
(6)- The relationship between the power prior and hierarchical models
- Power prior elicitation in Bayesian quantile regression
- On efficient posterior inference in normalized power prior Bayesian analysis
- Discussion of: ``Specifying prior distributions in reliability applications
- Bayesian Detection of Bias in Peremptory Challenges Using Historical Strike Data
- Bayesian borrowing with multiple heterogeneous historical studies using order restricted normalized power prior
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