Normalized power prior Bayesian analysis

Normalized Power Prior Bayesian Analysis Normalized Power Prior Bayesian Analysis

Power Prior Elicitation in Bayesian Quantile Regression

We address a quantile dependent prior for Bayesian quantile regression. We extend the idea of the power prior distribution in Bayesian quantile regression by employing the likelihood function that is based on a location-scale mixture representation of the asymmetric Laplace distribution. The propriety of the power prior is one of the critical issues in Bayesian analysis. Thus, we discuss the pr...

A Bayesian analysis of normalized VAR models

Identified vector autoregressive (VAR) models have become widely used on time series data in recent years, but finite sample inference for such models remains a challenge. In this study, we propose a conjugate prior for Bayesian analysis of normalized VAR models. Under the prior, themarginal posterior of VAR parameters involved in identification can be either derived in closed form or simulated...

Flexible Prior Models in Bayesian Image Analysis

A new class of prior models is proposed for Bayesian image analysis. This class of priors provides an inherent geometrical flexibility, which is achieved through a transformation of the coordinate system of the prior distribution or model into that of the object under analysis. Thus prior morphological information about the object being reconstructed may be adapted to various degrees to match t...

Exchangeability Characterizes Optimality of Sequential Normalized Maximum Likelihood and Bayesian Prediction with Jeffreys Prior

We study online prediction of individual sequences under logarithmic loss with parametric constant experts. The optimal strategy, normalized maximum likelihood (NML), is computationally demanding and requires the length of the game to be known. We consider two simpler strategies: sequential normalized maximum likelihood (SNML), which computes the NML forecasts at each round as if it were the la...