A characterization of conjugate priors in exponential families with application to inverse regression
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.
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Volume (Year): 83 (2013)
Issue (Month): 2 ()
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- 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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