1.12 Priors for Identifiability

Location and Scale Invariance

One application of (hierarchical) priors is to identify the scale and/or location of a group of parameters. For example, in the IRT models discussed in the previous section, there is both a location and scale non-identifiability. With uniform priors, the posteriors will float in terms of both scale and location. See the collinearity section for a simple example of the problems this poses for estimation.

The non-identifiability is resolved by providing a standard normal (i.e., \(\mathsf{normal}(0,1)\)) prior on one group of coefficients, such as the student abilities. With a standard normal prior on the student abilities, the IRT model is identified in that the posterior will produce a group of estimates for student ability parameters that have a sample mean of close to zero and a sample variance of close to one. The difficulty and discrimination parameters for the questions should then be given a diffuse, or ideally a hierarchical prior, which will identify these parameters by scaling and locating relative to the student ability parameters.

Collinearity

Another case in which priors can help provide identifiability is in the case of collinearity in a linear regression. In linear regression, if two predictors are collinear (i.e, one is a linear function of the other), then their coefficients will have a correlation of 1 (or -1) in the posterior. This leads to non-identifiability. By placing normal priors on the coefficients, the maximum likelihood solution of two duplicated predictors (trivially collinear) will be half the value than would be obtained by only including one.

Separability

In a logistic regression, if a predictor is positive in cases of 1 outcomes and negative in cases of 0 outcomes, then the maximum likelihood estimate for the coefficient for that predictor diverges to infinity. This divergence can be controlled by providing a prior for the coefficient, which will “shrink” the estimate back toward zero and thus identify the model in the posterior.

Similar problems arise for sampling with improper flat priors. The sampler will try to draw large values. By providing a prior, the posterior will be concentrated around finite values, leading to well-behaved sampling.