Al-Awadhi, Shafeeqah A. and Garthwaite, Paul H.
An elicitation method for multivariate normal distributions.
Communications in Statistics - Theory and Methods, 27(5) pp. 1123–1142.
This paper presents an elicitation method for quantifying an expert's subjective opinion about a multivariate normal distribution. It is assumed that the expert's opinion can be adequately represented by a natural conjugate distribution (a normal inverse-Wishart distribution), and the expert performs various assessment tasks that enable the hyperparameters of the distribution to be estimated. There is some choice in the way hyperparameters are determined from the elicited assessments and empirical work underlies the choices made. The method is implemented in an interactive computer program that questions the expert and forms the subjective distribution. An example illustrating use of the method is given.
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