Penalising model component complexity:A principled, practical approach to constructing priors

@inproceedings{Simpson2014PenalisingMC,
  title={Penalising model component complexity:A principled, practical approach to constructing priors},
  author={Daniel P. Simpson and Ha{\aa}vard Rue and Thiago G. Martins and Andrea Riebler and Sigrunn Holbek S{\o}rbye},
  year={2014}
}
  • Daniel P. Simpson, Haåvard Rue, +2 authors Sigrunn Holbek Sørbye
  • Published 2014
  • Mathematics
  • In this paper, we introduce a new concept for constructing prior distributions. We exploit the natural nested structure inherent to many model components, which defines the model component to be a flexible extension of a base model. Proper priors are defined to penalise the complexity induced by deviating from the simpler base model and are formulated after the input of a user-defined scaling parameter for that model component, both in the univariate and the multivariate case. These… CONTINUE READING

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