Jeffreys prior for an additive variance component Created 2026-10-05 Updated 2026-10-07
For independent normal observations with fixed means and variances , where is unknown and all known , the scalar Fisher information for is . Thus its scalar Jeffreys prior is finite at zero and behaves like at infinity. Unlike a log-flat prior , it avoids a divergent integral at the zero-variance boundary. After flat-prior elimination of a Gaussian common mean, the integrated likelihood is bounded by a constant times , so this prior yields a proper posterior for and a proper prior on any remaining mean-shape parameters. In the homoscedastic case it reduces to , which is log-flat for the total variance rather than for the latent variance alone.
Choose a fixed , and write and . The predicted magnitude is . Thus the likelihood depends on only through , the absolute magnitude–Hubble constant degeneracy. Since at fixed , integrating with a flat density over the entire real line removes .
Explicitly, let , , , and . Completing the square gives , so flat-prior elimination of a Gaussian common mean yields
independently of . The proportionality includes the arbitrary constant of the flat prior, which cancels within this posterior analysis.
If the remaining posterior integral is finite, prior independence gives and hence : these data supply no marginal update of the Hubble constant. The quoted Gaussian is consequently retained with its stated . Strictly, the model uses inside a logarithm, so the Gaussian prior must be restricted and normalized on that domain:
where are the standard normal density and distribution function. Ignoring its negligible negative tail gives the stated untruncated Gaussian approximation.