Thursday, November 16, 2006

conjugate prior

Table of conjugate distributions

normal with known mean μ variance σ2 scaled inverse-chi-square \nu,\ \sigma^2\! \nu+n,\frac{\nu\sigma^2+\sum_{i=1}^n (x_i-\mu)^2}{\nu+n}\!
normal with known variance σ2 mean μ normal \mu_0, \sigma_0^2\! (\frac{\mu_0}{\sigma_0^2} + \frac{\sum_{i=1}^n x_i}{\sigma^2})/(\frac{1}{\sigma_0^2} + \frac{n}{\sigma^2}), (\frac{1}{\sigma_0^2} + \frac{n}{\sigma^2})^{-1}
Pareto shape k Gamma \alpha,\ \beta\! \alpha+n,\ \beta+\sum_{i=1}^n \ln\frac{x_i}{x_{\mathrm{m}}}\!
Pareto location xm Pareto

Poisson rate λ Gamma \alpha,\ \beta\! \alpha + \sum_{i=1}^n x_i,\ \beta + n\!

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