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- Timestamp:
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Dec 24, 2010, 4:19:07 PM (14 years ago)
- Author:
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Víctor de Buen Remiro
- Comment:
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25 | 25 | but this an admisible restricion in almost all cases. |
26 | 26 | |
27 | | == Chained priors == |
28 | | |
29 | | A prior can depend on a set of parameters that can be defined as constant |
30 | | values or another subset of the model variables. For example we can define |
31 | | hierarquical structures among the variables using a latent variable that is |
32 | | the average of a normal prior for a subset of variables. We also can consider |
33 | | that the varianze of these normal prior is another variable and to define |
34 | | an inverse chi-square prior over this one. |
35 | | |
36 | 27 | == Non informative priors == |
37 | 28 | |
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53 | 44 | bounds:[[BR]][[BR]] |
54 | 45 | |
55 | | [[LatexEquation( \beta\in\Omega\Longleftrightarrow l_{k}\leq\beta\leq u_{k}\wedge-\infty\leq l_{k}<u_{k}\leq\infty )]] |
| 46 | [[LatexEquation( \beta\in\Omega\Longleftrightarrow l_{k}\leq\beta_{i_k}\leq u_{k}\wedge-\infty\leq l_{k}<u_{k}\leq\infty\forall k=1\ldots r )]] |
56 | 47 | |
57 | 48 | === Polytope prior === |
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60 | 51 | [[LatexEquation( A\beta\leq a\wedge A\in\mathbb{R}^{r\times n}\wedge a\in\mathbb{R}^{r} )]] |
61 | 52 | |
62 | | We can define this type of prior bye means of a set of [[LatexEquation( r )]] |
63 | | inequations due NonLinGloOpt doesn't have any special behaviour for linear |
64 | | inequations, and it could be an inefficient implementation. |
| 53 | An special and common case of polytope region is the defined by order relations like |
| 54 | |
| 55 | [[LatexEquation( \beta_{i}}\leq\beta_{j}})]] |
| 56 | |
| 57 | We can implement this type of prior by means of a set of [[LatexEquation( r )]] |
| 58 | inequations but, since NonLinGloOpt doesn't have any special behaviour for linear |
| 59 | inequations, it could be an inefficient implementation. |
65 | 60 | |
66 | 61 | However we can define just one non linear inequation that is equivalent to the |
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82 | 77 | |
83 | 78 | The feasibility condition can then be defined as a single continuous nonlinear |
84 | | inequality and twice differentiable everywhere |
| 79 | inequality and differentiable everywhere |
85 | 80 | |
86 | 81 | [[LatexEquation( g\left(\beta\right)=\underset{k=1}{\overset{r}{\sum}}D_{k}^{3}\left(\beta\right)\leq0 )]] |
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90 | 85 | [[LatexEquation( \frac{\partial g\left(\beta\right)}{\partial\beta_{i}}=3\underset{k=1}{\overset{r}{\sum}}D_{k}^{2}\left(\beta\right)A_{ki} )]] |
91 | 86 | |
92 | | |
93 | 87 | == Multinormal prior == |
94 | 88 | |
95 | | == Scalar bounded normal prior == |
96 | 89 | |
97 | 90 | == Inverse chi-square prior == |
98 | 91 | |
99 | 92 | |
| 93 | |
| 94 | |