Prior distribution assessment for a multivariate normal distribution: an experimental study

This file is part of IDEAS, which uses RePEc data

Prior distribution assessment for a multivariate normal distribution: an experimental study

Author Info

S. A. Al-Awadhi, P. H. Garthwaite

Abstract

A variety of methods of eliciting a prior distribution for a multivariate normal (MVN) distribution have recently been proposed. This paper reports an experiment in which 16 meteorologists used the methods to quantify their opinions about climatology variables. Our results compare prior models and show, in particular, that it can be better to assume the mean and variance of an MVN distribution are independent a priori, rather than to model opinion by the conjugate prior distribution. Using a proper scoring rule, different forms of assessment task are examined and alternative ways of estimating parameters are compared. To quantify opinion about means, it proved preferable to ask directly about the means rather than individual observations while, to quantify opinion about the variance matrix, it was best to ask about deviations from the mean. Further results include recommendations for the way parameters of the prior distribution are estimated.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Taylor and Francis Journals in its journal Journal of Applied Statistics.

Volume (Year): 28 (2001)
Issue (Month): 1 (January)
Pages: 5-23
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:taf:japsta:v:28:y:2001:i:1:p:5-23

Contact details of provider:
Web page: http://taylorandfrancis.metapress.com/link.asp?target=journal&id=100411

Order Information:
Web: http://www.tandf.co.uk/journals/subscription.html

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Paul H. Garthwaite & Shafeeqah A. Al-Awadhi, 2001. "Non-conjugate prior distribution assessment for multivariate normal sampling," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 63(1), pages 95-110. [Downloadable!] (restricted)
van Lenthe, Jelle, 1994. "Scoring-Rule Feedforward and the Elicitation of Subjective Probability Distributions," Organizational Behavior and Human Decision Processes, Elsevier, vol. 59(2), pages 188-209, August. [Downloadable!] (restricted)
Garthwaite, Paul H. & Dickey, James M., 1985. "Double- and single-bisection methods for subjective probability assessment in a location-scale family," Journal of Econometrics, Elsevier, vol. 29(1-2), pages 149-163. [Downloadable!] (restricted)

Full references

Statistics
Access and download statistics

Did you know? LogEc provides statistical analysis about downloads from this service (and others).

This page was last updated on 2010-1-28.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.