Normal Distribution - Bayesian Analysis of The Normal Distribution

Bayesian Analysis of The Normal Distribution

Bayesian analysis of normally distributed data is complicated by the many different possibilities that may be considered:

  • Either the mean, or the variance, or neither, may be considered a fixed quantity.
  • When the variance is unknown, analysis may be done directly in terms of the variance, or in terms of the precision, the reciprocal of the variance. The reason for expressing the formulas in terms of precision is that the analysis of most cases is simplified.
  • Both univariate and multivariate cases need to be considered.
  • Either conjugate or improper prior distributions may be placed on the unknown variables.
  • An additional set of cases occurs in Bayesian linear regression, where in the basic model the data is assumed to be normally distributed, and normal priors are placed on the regression coefficients. The resulting analysis is similar to the basic cases of independent identically distributed data, but more complex.

The formulas for the non-linear-regression cases are summarized in the conjugate prior article.

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