Comments (3)
(I should clarify this is referring to the NormalGamma distribution)
from conjugatepriors.jl.
Hm, with nu = 0
, this is not a proper distribution and one cannot sample anymore from it, compare
ConjugatePriors.jl/src/normalgamma.jl
Line 48 in 8e3a6a7
Distribution.jl
in general only supports proper distributions. As priors, improper distributions still make sense. What to do?from conjugatepriors.jl.
If you choose nu=0
the marginal prior distribution for location parameter for the Normal Gamma model would be Cauchy distribution. This is a proper distribution for which mean and variance do not exist. However, because prior is a proper distribution, the posterior distribution turns out to be just fine. That is why even if you use nu=0
the simulation works fine. It is not an accident. You can look into Andrew Gelman's book. He gave a beautiful explanation about this (Chapter 2).
Ref: Bayesian Data Analysis (By Andrew Gelman and etal.) Second Ed.
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Related Issues (16)
- rand(::NormalWishart) is broken HOT 3
- `Pkg.add("ConjugatePriors"); using ConjugatePriors` fails during precompilation. HOT 6
- Documentation? HOT 7
- Upgrade to newer PDMats.jl HOT 6
- Stop lying about eltype
- Exporting distribution types and methods HOT 2
- disagreement in `mode` of NormalInverseChisq and NormalInverseGamma HOT 3
- can't infer type in some constructors
- NormalWishart <: ContinuousUnivariateDistribution HOT 1
- Change to canonical form for NormalGamma and NormalWishart?
- Package compatibility caps HOT 1
- Labelling Improper Distributions (API Feature Request) HOT 1
- Abandoned? HOT 2
- TagBot trigger issue HOT 6
- Make available for julia 0.4- on Metadata.jl HOT 1
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