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A New Perspective on Priors for Generalized Linear Models

Edward J. Bedrick, Ronald Christensen and Wesley Johnson
Journal of the American Statistical Association
Vol. 91, No. 436 (Dec., 1996), pp. 1450-1460
DOI: 10.2307/2291571
Stable URL: http://www.jstor.org/stable/2291571
Page Count: 11
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A New Perspective on Priors for Generalized Linear Models
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Abstract

This article deals with specifications of informative prior distributions for generalized linear models. Our emphasis is on specifying distributions for selected points on the regression surface; the prior distribution on regression coefficients is induced from this specification. We believe that it is inherently easier to think about conditional means of observables given the regression variables than it is to think about model-dependent regression coefficients. Previous use of conditional means priors seems to be restricted to logistic regression with one predictor variable and to normal theory regression. We expand on the idea of conditional means priors and extend these to arbitrary generalized linear models. We also consider data augmentation priors where the prior is of the same form as the likelihood. We show that data augmentation priors are special cases of conditional means priors. With current Monte Carlo methodology, such as importance sampling and Gibbs sampling, our priors result in tractable posteriors.

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