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A characterization of conjugate priors in exponential families with application to inverse regression

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  • Luo, Wei
  • Altman, Naomi S.

Abstract

It is often convenient to assume that X and X|Y are in the same exponential family. By considering X as the “parameter” and Y as the “data”, the problem becomes determining which exponential families X|Y have conjugate priors. We develop a necessary condition for conjugacy. One-dimensional exponential families can be conjugate only if they have exactly two support points.

Suggested Citation

  • Luo, Wei & Altman, Naomi S., 2013. "A characterization of conjugate priors in exponential families with application to inverse regression," Statistics & Probability Letters, Elsevier, vol. 83(2), pages 650-654.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:2:p:650-654
    DOI: 10.1016/j.spl.2012.10.030
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    References listed on IDEAS

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    1. Li, Bing & Wang, Shaoli, 2007. "On Directional Regression for Dimension Reduction," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 997-1008, September.
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