Abstract:A key sticking point of Bayesian analysis is the choice of prior distribution, and there is a vast literature on potential defaults including uniform priors, Jeffreys' priors, reference priors, maximum entropy priors, and weakly informative priors. These methods, however, often manifest a key conceptual tension in prior modeling: a model encoding true prior information should be chosen without reference to the model of the measurement process, but almost all common prior modeling techniques are implicitly motivated by a reference likelihood. In this paper we resolve this apparent paradox by placing the choice of prior into the context of the entire Bayesian analysis, from inference to prediction to model evaluation.Keywords: Bayesian inference; default priors; prior distribution
The Role of the Prior Distribution in a Bayesian AnalysisBoth in theory and in practice, the prior distribution can play many roles in a Bayesian analysis. Perhaps most formally the prior serves to encode information germane to the problem being analyzed, but in practice it often becomes a means of stabilizing inferences in complex, high-dimensional problems. In other settings, the prior is treated as little more than a nuisance, serving simply as a catalyst for the expression of uncertainty via Bayes' theorem.These different roles often motivate a distinction between "subjective" and "objective" choices of priors, but we are unconvinced of the relevance of this distinction [1]. We prefer to characterize Bayesian priors, and statistical models more generally based on the information they include rather than the philosophical interpretation of that information. The ultimate significance of this information, and hence the prior itself, depends on exactly how that information manifests in the final analysis. Consequently, the influence of the prior can only be judged within the context of the likelihood.In the present paper, we address an apparent paradox: logically, the prior distribution should come before the data model, but, in practice, priors are often chosen with reference to a likelihood function. We resolve this puzzle in two ways: first with a robustness argument, recognizing that our models are only approximate, and in particular the relevance to any given data analysis of particular assumptions in the prior distribution depends on the likelihood; and, second, by considering the different roles that the prior plays in different Bayesian analyses.One can roughly speak of two sorts of Bayesian analyses. In the first sort, the Bayesian formalism can be taken literally: a researcher starts with a prior distribution about some externally defined quantity, perhaps some physical parameter or the effect of some social intervention, and then he or she analyzes data, leading to an updated posterior distribution. Here, the prior can be clearly defined,