Parameter Priors for Directed Acyclic Graphical Models and the Characterization of Several Probability Distributions
We show that the only parameter prior for complete Gaussian DAG models that satisfies global parameter independence, complete model equivalence, and some weak regularity assumptions, is the normal-Wishart distribution. Our analysis is based on the following new characterization of the Wishart distribution: let W be an n x n, n >= 3, positive-definite symmetric matrix of random variables and f(W) be a pdf of W. Then, f(W) is a Wishart distribution if and only if W_11-W_12W_22^-1W_12' is independent of W_12, W_22 for every block partitioning W_11, W_12, W_12', W_22 of W. Similar characterizations of the normal and normal-Wishart distributions are provided as well. We also show how to construct a prior for every DAG model over X from the prior of a single regression model.
READ FULL TEXT