Weyl Prior and Bayesian Statistics

DOI10.3390/E22040467arXiv2004.05697WikidataQ104107289 ScholiaQ104107289MaRDI QIDQ6338577FDOQ6338577

Authors: Ruichao Jiang, Javad Tavakoli, Yiqiang Q. Zhao 

Publication date: 12 April 2020

Abstract: When using Bayesian inference, one needs to choose a prior distribution for parameters. The well-known Jeffreys prior is based on the Riemann metric tensor on a statistical manifold. Takeuchi and Amari defined the $alpha$-parallel prior,, which generalized the Jeffreys prior by exploiting higher-order geometric object, known as Chentsov-Amari tensor. In this paper, we propose a new prior based on the Weyl structure on a statistical manifold. It turns out that our prior is a special case of the $alpha$-parallel prior with the parameter $alpha$ equals $-n$, where $n$ is the dimension of the underlying statistical manifold and the minus sign is a result of conventions used in the definition of $alpha$-connections. This makes the choice for the parameter $alpha$ more canonical. We calculated the Weyl prior for univariate Gaussian and multivariate Gaussian distribution. The Weyl prior of the univariate Gaussian turns out to be the uniform prior.

Mathematics Subject Classification ID

Bayesian inference (62F15) Affine differential geometry (53A15)

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