Flexible prior elicitation via the prior predictive distribution

Funding Information: This work was supported by the Academy of Finland (Flagship programme: Finnish Center for Artificial Intelligence, FCAI; Grants 320181, 320182, 320183) and the Technology Industries of Finland Centennial Foundation (grant 70007503; Artificial Intelligence for Research and Development). Publisher Copyright: © Proceedings of the 36th Conference on Uncertainty in Artificial Intelligence, UAI 2020. All rights reserved.The prior distribution for the unknown model parameters plays a crucial role in the process of statistical inference based on Bayesian methods. However, specifying suitable priors is often difficult even when detailed prior knowledge is available in principle. The challenge is to express quantitative information in the form of a probability distribution. Prior elicitation addresses this question by extracting subjective information from an expert and transforming it into a valid prior. Most existing methods, however, require information to be provided on the unobservable parameters, whose effect on the data generating process is often complicated and hard to understand. We propose an alternative approach that only requires knowledge about the observable outcomes - knowledge which is often much easier for experts to provide. Building upon a principled statistical framework, our approach utilizes the prior predictive distribution implied by the model to automatically transform experts judgements about plausibleoutcome values to suitable priors on the parameters. We also provide computational strategies to perform inference and guidelines to facilitate practical use.Peer reviewe