Solved – Why is the mixtures of conjugate priors important

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I have questions about the mixture of conjugate priors. I learned and saw the mixture of conjugate priors a couple of times when I am learning bayesian. I am wondering why this theorem is such important, how are we going to apply it when we are doing Bayesian analysis.

To be more specific, one theorem from Diaconis and Ylivisaker 1985 illustrated a theorem as this:

Given a sampling model $p(y|\theta)$ from an exponential family, any prior distribution can be approximated by a finite mixture of conjugate prior distributions.

More specifically, given prior $p(\theta)=\int p(\theta|\omega)p(\omega)d\omega$, we can derive the posterior:

$p(\theta|Y)\propto\int p(Y|\theta)p(\theta|\omega)p(\omega)d\omega\propto\int \frac{p(Y|\theta)p(\theta|\omega)}{p(Y|\omega)}p(Y|\omega)p(\omega)d\omega\propto \int p(\theta|Y, \omega)p(Y|\omega)p(\omega)d\omega$

Therefore,

$p(\theta|Y)=\frac{\int p(\theta|Y, \omega)p(Y|\omega)p(\omega)d\omega}{\int p(Y|\omega)p(\omega)d\omega}$

Best Answer

Calculating posteriors with general/arbitrary priors directly may be a difficult task.

On the other hand, calculating posteriors with mixtures of conjugate priors is relatively simple, since a given mixture of priors becomes the same mixture of the corresponding posteriors.

[There are also many cases where some given prior may be quite well approximated by a finite mixture of conjugate priors -- this makes for a very easy to apply and practical approach in many situations, that leads to approximate posteriors that may be made quite close to the exact one.]

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