We have an iid $X_i=(X_1,..,X_n)$ from distribution $f(x) =(\theta /2)\exp (−\theta |x|)$ show that $\theta$s conjugate prior is a gamma distribution

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Suppose that we have an iid sample $X_{1:n} = (X_1, X_2, …, X_n)$ from a Laplace distribution with
density of $X_i$ given by
$f(x) = \frac{θ}
{2}\exp (−θ|x|)$
for $x ∈ R$ and $θ > 0$ .

Show that the conjugate prior for $θ$ is given by the gamma distribution with shape parameter
$α > 0$ and rate parameter $β > 0$, that is

$f(θ) = \frac{β^{α}}{Γ(α)}θ^{α−1}\exp(−βθ)$

Determine the parameters in the corresponding posterior distribution.

My initial thought was that since $f(x)=\int f(x|\theta)f(\theta)d\theta$ we could take the derivative of the distribution by theta and take the result and calculate the posterior distribution but it doesnt seem to work. My hope after getting the posterior distribution we would know that the prior would belong to the same class of distributions

Best Answer

to solve your problem consider that the posterior is

$$\pi(\theta|\mathbf{x})\propto \pi(\theta)\cdot p(\mathbf{x}|\theta)$$

So first derive your likelihood $ p(\mathbf{x}|\theta)$ and then multiply your (given) prior $\times$ likelihood and surely you will find (the kernel of) another Gamma density with different (posterior) parameters

Hint: when doing your calculations, waste any quantity not depending on $\theta$ because in a Bayesian point of view they are all constants and thus included in the normalizing constant


(1) likelihood

Simply multiply the "n" densities obtaining

$$ p(\mathbf{x}|\theta)\propto \theta^n e^{-\theta \Sigma_i|x_i|}$$

(note that I did not consider the 2 in the denominator, not depending on the parameter)

(2) Prior

$$\pi(\theta)\propto \theta^{\alpha-1} e^{-\beta\theta}$$

(same observation as in (1))

(3) Posterior

$$\pi(\theta|\mathbf{x})\propto \theta^{(\alpha+n)-1}\cdot e^{-\theta(\beta+\Sigma_i|x_i|)} $$

we immediately recognize that the posterior is still Gamma with parameters

$$\pi(\theta|\mathbf{x})\sim \text{Gamma}(\alpha+n;\beta+\Sigma_i|x_i|)$$