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Prior distribution assessment for a multivariate normal distribution: an experimental study

Garthwaite, P. H. and Al-Awadhi, S. A. (2001). Prior distribution assessment for a multivariate normal distribution: an experimental study. Journal of Applied Statistics, 28(1) pp. 5–23.

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A variety of methods of eliciting a prior distribution for a multivariate normal (MVN) distribution have recently been proposed. This paper reports an experiment in which 16 meteorologists used the methods to quantify their opinions about climatology variables. Our results compare prior models and show, in particular, that it can be better to assume the mean and variance of an MVN distribution are independent a priori, rather than to model opinion by the conjugate prior distribution. Using a proper scoring rule, different forms of assessment task are examined and alternative ways of estimating parameters are compared. To quantify opinion about means, it proved preferable to ask directly about the means rather than individual observations while, to quantify opinion about the variance matrix, it was best to ask about deviations from the mean. Further results include recommendations for the way parameters of the prior distribution are estimated.

Item Type: Journal Article
Copyright Holders: 2001 Taylor & Francis
ISSN: 1360-0532
Academic Unit/Department: Mathematics, Computing and Technology > Mathematics and Statistics
Mathematics, Computing and Technology
Item ID: 17979
Depositing User: Sara Griffin
Date Deposited: 25 Aug 2009 09:27
Last Modified: 15 Jan 2016 11:43
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