Flexible Prior Elicitation via the Prior Predictive distribution

Marcelo Hartmann, George Agiashivili, Paul-Christian Bürkner, Arto Klami

Forskningsoutput: Kapitel i bok/rapport/konferenshandlingKonferensbidragVetenskapligPeer review


The prior distribution for the unknown model parameters plays a crucial role in the process of statistical inference based on Bayesian methods. However, specifying suitable priors is often difficult even when detailed prior knowledge is available in principle. The challenge is to express quantitative information in the form of a probability distribution. Prior elicitation addresses this question by extracting subjective information from an expert and transforming it into a valid prior. Most existing methods, however, require information to be provided on the unobservable parameters, whose effect on the data generating process is often complicated and hard to understand. We propose an alternative approach that only requires knowledge about the observable outcomes -- knowledge which is often much easier for experts to provide. Building upon a principled statistical framework, our approach utilizes the prior predictive distribution implied by the model to automatically transform experts judgements about plausible outcome values to suitable priors on the parameters. We also provide computational strategies to perform inference and guidelines to facilitate practical use.
Titel på gästpublikationProceedings of the 36th Conference on Uncertainty in Artificial Intelligence
Antal sidor10
FörlagAUAI Press / Association for Uncertainty in Artificial Intelligence
Utgivningsdatum4 aug 2020
StatusPublicerad - 4 aug 2020
MoE-publikationstypA4 Artikel i en konferenspublikation
EvenemangUncertainty in artificial intelligence - online
Varaktighet: 3 aug 20206 aug 2020
Konferensnummer: 36


NamnConference on Uncertainty in Artificial Intelligence
ISSN (tryckt)1525-3384


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