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Cauchy prior RRS feed

  • Question

  • Is there some way to implement a Cauchy prior in Infer.net? Preferably with an option to vary the location and scale parameters.
    Friday, September 16, 2011 1:41 PM

All replies

  • You can build this into your model as

    tau ~ Ga(shape, rate)

    x ~ N(mean, tau)

    Then x ~ student-t with

    location = mean
    scale = shape/rate
    dof = 2*shape

    So for Cauchy (dof = 1), set shape = 0.5

    John

    Friday, September 16, 2011 2:30 PM
    Owner