Weyl Prior and Bayesian Statistics

Abstract

When using Bayesian inference, one needs to choose a prior distribution for parameters. The well-known Jeffreys prior is based on the Riemann metric tensor on a statistical manifold. Takeuchi and Amari defined the α -parallel prior, which generalized the Jeffreys prior by exploiting a higher-order geometric object, known as a Chentsov–Amari tensor. In this paper, we propose a new prior based on the Weyl structure on a statistical manifold. It turns out that our prior is a special case of the α -parallel prior with the parameter α equaling − n , where n is the dimension of the underlying statistical manifold and the minus sign is a result of conventions used in the definition of α -connections. This makes the choice for the parameter α more canonical. We calculated the Weyl prior for univariate Gaussian and multivariate Gaussian distribution. The Weyl prior of the univariate Gaussian turns out to be the uniform prior.