Re: $PRIOR with normal for OMEGA?
Mark,
Without getting too technical, recall that the inverse wishart is a
distribution on matrices, and is naturally conjugate to the multivariate normal
distribution (i.e. on vectors of random variables.) Generally, this is chosen
because posterior computations are simplified and it is easy to sample from
this posterior distribution.
What you're suggesting is the Matrix Normal distribution. Since it is not
conjugate to the multivariate normal, posterior computations can cause
headaches. So while it is *possible* to use such a distribution as a prior, it
is cumbersome to work with in practice and requires thinking about some things
like correlation and scale in non straightforward ways.
--------------
Andy Gewitz, PhD
Bioengineering and Therapeutic Sciences
University of California, San Francisco
Quoted reply history
On Nov 10, 2016, at 7:57 PM, Mark Sale
<[email protected]<mailto:[email protected]>> wrote:
Is it possible to use a normal prior for OMEGA? The default is inverse Wishart,
but I'd be interested in using Normal (insuring that it is positive definite)
Any ideas?
thanks
Mark Sale M.D.
Vice President, Modeling and Simulation
Nuventra Pharma Sciences, Inc.
2525 Meridian Parkway, Suite 280
Durham, NC 27713
Phone (919)-973-0383
[email protected]<[email protected]>
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