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IJAR
2008

Bayesian learning for a class of priors with prescribed marginals

11 years 1 months ago
Bayesian learning for a class of priors with prescribed marginals
We present Bayesian updating of an imprecise probability measure, represented by a class of precise multidimensional probability measures. Choice and analysis of our class are motivated by expert interviews that we conducted with modelers in the context of climatic change. From the interviews we deduce that generically, experts hold a much more informed opinion on the marginals of uncertain parameters rather than on their correlations. Accordingly, we specify the class by prescribing precise measures for the marginals while letting the correlation structure subject to complete ignorance. For sake of transparency, our discussion focuses on the tutorial example of a linear two-dimensional Gaussian model. We operationalize Bayesian learning for that class by various updating rules, starting with (a modified version of) the generalized Bayes' rule and the maximum likelihood update rule (after Gilboa and Schmeidler). Over a large range of potential observations, the generalized Bayes&...
Hermann Held, Thomas Augustin, Elmar Kriegler
Added 12 Dec 2010
Updated 12 Dec 2010
Type Journal
Year 2008
Where IJAR
Authors Hermann Held, Thomas Augustin, Elmar Kriegler
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