Definition:Conjugate Prior Distribution

Definition

In an exercise of Bayesian inference, a conjugate prior distribution is a prior probability distribution that gives rise to a posterior distribution belonging to the same family as the prior distribution.

For example, they might both be normal distributions, or they might both be gamma distributions.

Also see

• Results about Bayesian inference can be found here.

Sources

• 1998: David Nelson: The Penguin Dictionary of Mathematics (2nd ed.) ... (previous) ... (next): Bayesian inference
• 1998: David Nelson: The Penguin Dictionary of Mathematics (2nd ed.) ... (previous) ... (next): conjugate prior
• 2008: David Nelson: The Penguin Dictionary of Mathematics (4th ed.) ... (previous) ... (next): Bayesian inference
• 2008: David Nelson: The Penguin Dictionary of Mathematics (4th ed.) ... (previous) ... (next): conjugate prior distribution