Conjugate Prior

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In Bayesian probability theory, if the posterior distributions *p*(θ|*x*) are in the same family as the prior probability distribution *p*(θ), the prior and posterior are then called **conjugate distributions,** and the prior is called a **conjugate prior** for the likelihood. For example, the Gaussian family is conjugate to itself (or *self-conjugate*) with respect to a Gaussian likelihood function: if the likelihood function is Gaussian, choosing a Gaussian prior over the mean will ensure that the posterior distribution is also Gaussian. The concept, as well as the term "conjugate prior", were introduced by Howard Raiffa and Robert Schlaifer in their work on Bayesian decision theory.Howard Raiffa and Robert Schlaifer. *Applied Statistical Decision Theory*. Division of Research, Graduate School of Business Administration, Harvard University, 1961. A similar concept had been discovered independently by George Alfred Barnard.

Consider the general problem of inferring a distribution for a parameter θ given some datum or data*x*. From Bayes' theorem, the posterior distribution is equal to the product of the likelihood function <math>theta mapsto p(xmidtheta)!</math> and prior *p*(θ), normalized (divided) by the probability of the data *p*(x):

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Consider the general problem of inferring a distribution for a parameter θ given some datum or data

- <math> p(theta|x) =...... ...

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