On the relationship between a Gamma distributed precision parameter and the associated standard deviation in the context of Bayesian parameter inference

01/15/2021

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by   Manuel M. Eichenlaub, et al.

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In Bayesian inference, an unknown measurement uncertainty is often quantified in terms of a Gamma distributed precision parameter, which is impractical when prior information on the standard deviation of the measurement uncertainty shall be utilised during inference. This paper thus introduces a method for transforming between a gamma distributed precision parameter and the distribution of the associated standard deviation. The proposed method is based on numerical optimisation and shows adequate results for a wide range of scenarios.