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Posterior Propriety Of An Objective Prior For Generalized Hierarchical Normal Linear Models, Cong Lin, Dongchu Sun, Chengyuan Song

Department of Statistics: Faculty Publications

Bayesian Hierarchical models has been widely used in modern statistical application. To deal with the data having complex structures, we propose a generalized hierarchical normal linear (GHNL) model which accommodates arbitrarily many levels, usual design matrices and ‘vanilla’ covariance matrices. Objective hyperpriors can be employed for the GHNL model to express ignorance or match frequentist properties, yet the common objective Bayesian approaches are infeasible or fraught with danger in hierarchical modelling. To tackle this issue, [Berger, J., Sun, D., & Song, C. (2020b). An objective prior for hyperparameters in normal hierarchical models. Journal of Multivariate Analysis, 178, 104606. https://doi.org/10.1016/j.jmva.2020.104606] …