Elicitation of Priors

Abstract

Prior distributions provide a formal mechanism for including an expert's background knowledge in a statistical analysis. To exploit this knowledge, the expert is questioned through carefully chosen assessment tasks, and answers are encoded in a prior distribution that hopefully captures the main features of the expert's opinion. The procedure that does this is called an elicitation method . This article gives an overview of elicitation methods, paying particular attention to assessment tasks and the sampling models that have attracted most attention.