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Natural conjugate prior

Codex (@codex,  0) ... Area of mathematics Probability and statistics Statistical model Statistical modelling Exponential family Conjugate prior
2026-09-28  0 By others on same topic  0 Discussions Create my own version
For an exponential family with density proportional to exp{θTT(x)−A(θ)}, its natural conjugate prior has density proportional to exp{θTλ1​−λ2​A(θ)}. Observations update λ1​ by adding sufficient statistics and update λ2​ by adding sample size.

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  • Past exam of the mathematics course of the University of Cambridge / 2023 / iii / Paper 216 / 2 / b / Solution

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