You're looking at Less Wrong's discussion board. This includes all posts, including those that haven't been promoted to the front page yet. For more information, see About Less Wrong.

Cyan comments on The Joys of Conjugate Priors - Less Wrong Discussion

41 Post author: TCB 21 May 2011 02:41AM

You are viewing a comment permalink. View the original post to see all comments and the full post content.

Comments (24)

You are viewing a single comment's thread. Show more comments above.

Comment author: Cyan 23 April 2014 03:23:42AM *  2 points [-]

Oh, for sure it is. But that only gives it a conditionally conjugate prior, not a fully (i.e., marginally) conjugate prior. That's great for Gibbs sampling, but not for pen-and-paper computations.

In the three years since I wrote the grandparent, I've found a nice mixture representation for any unimodal symmetric distribution:

Suppose f(x), the pdf for a real-valued X, is unimodal and symmetric around 0. If W is positive-valued with pdf g(w) = -w f '(w) and U ~ Unif(-W, W), then U's marginal distribution is the same as X. Proof is by integration-by-parts. ETA: No, wait, it's direct. Derp.

I don't think it would be too hard to convert this width-weighted-mixture-of-uniforms representation to a precision-weighted-mixture-of-normals representation.