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How can I specify a prior in proc fmm using the Bayes statement?

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How can I specify a prior in proc fmm using the Bayes statement?

I want to estimate a univariate Gaussian mixture model with two components using proc fmm. With respect to the Bayes statement, I am assuming a triangular distribution for one parameter. Does anybody know how to implement it? I checked proc mcmc and there it is possible to construct your own prior via the general function (https://support.sas.com/documentation/cdl/en/statug/63033/HTML/default/viewer.htm#statug_mcmc_sect02...

Many thanks in advance.


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‎05-16-2016 12:01 PM
SAS Super FREQ
Posts: 3,478

Re: How can I specify a prior in proc fmm using the Bayes statement?

I don't think that FMM supports general priors. I only see the "usual suspects" in the doc: beta, gama, Dirichlet, etc

 

However, there is an easy way to create a beta distribution that kinda-sorta looks like a triangular distribution, in the sense that it has support is on [a,b] and it has a mode at c.  It is sometimes known as the PERT distribution. See the article "That distribution is quite PERT!" to learn how to choose the parameters of the beta distribution.  Choosing a PERT (via beta) distribution might capture the spirit of your prior.

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‎05-16-2016 12:01 PM
SAS Super FREQ
Posts: 3,478

Re: How can I specify a prior in proc fmm using the Bayes statement?

I don't think that FMM supports general priors. I only see the "usual suspects" in the doc: beta, gama, Dirichlet, etc

 

However, there is an easy way to create a beta distribution that kinda-sorta looks like a triangular distribution, in the sense that it has support is on [a,b] and it has a mode at c.  It is sometimes known as the PERT distribution. See the article "That distribution is quite PERT!" to learn how to choose the parameters of the beta distribution.  Choosing a PERT (via beta) distribution might capture the spirit of your prior.

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