A Closed-Form Approximation to the Conjugate Prior of the Dirichlet and Beta Distributions

07/07/2021

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by   Kaspar Thommen, et al.

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We derive the conjugate prior of the Dirichlet and beta distributions and explore it with numerical examples to gain an intuitive understanding of the distribution itself, its hyperparameters, and conditions concerning its convergence. Due to the prior's intractability, we proceed to define and analyze a closed-form approximation. Finally, we provide an algorithm implementing this approximation that enables fully tractable Bayesian conjugate treatment of Dirichlet and beta likelihoods without the need for Monte Carlo simulations.