Emergent Mind
On the relationship between a Gamma distributed precision parameter and the associated standard deviation in the context of Bayesian parameter inference
(2101.06289)
Published Jan 15, 2021
in
stat.ME
and
cs.LG
Abstract
In Bayesian inference, an unknown measurement uncertainty is often quantified in terms of a Gamma distributed precision parameter, which is impractical when prior information on the standard deviation of the measurement uncertainty shall be utilised during inference. This paper thus introduces a method for transforming between a gamma distributed precision parameter and the distribution of the associated standard deviation. The proposed method is based on numerical optimisation and shows adequate results for a wide range of scenarios.
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