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Hyperparameter (Bayesian statistics)

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In Bayesian statistics, a hyperparameter is a parameter contained within a model for the prior distribution for multiple parameters which are themselves directly included in a model which describes the data being analysed. To fully describe the prior distribution for the model for the data, the hyperparameters themselves are given a prior distribution, called a hyperprior.

Reference

  • Bernardo, J.M., Smith, A.F.M. (2000) Bayesian Theory. Wiley. ISBN 0-471-49464-X
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