Methods for Eliciting Informative Prior Distributions: A Critical Review

TL;DR

This paper critically reviews various methods for eliciting informative prior distributions in Bayesian inference, highlighting their strengths, limitations, and gaps, with the aim of providing a comprehensive overview of the field.

Contribution

It offers a complete macro view of prior elicitation methods, categorizes them, and discusses their applicability, limitations, and future research directions.

Findings

Most elicitation methods rely on expert probability questions

Existing reviews focus on specific elicitation approaches

Identifies gaps and challenges in current elicitation methods

Abstract

Eliciting informative prior distributions for Bayesian inference can often be complex and challenging. While popular methods rely on asking experts probability based questions to quantify uncertainty, these methods are not without their drawbacks and many alternative elicitation methods exist. This paper explores methods for eliciting informative priors categorized by type and briefly discusses their strengths and limitations. Most of the review literature in this field focuses on a particular type of elicitation approach. The primary aim of this work, however, is to provide a more complete yet macro view of the state of the art by highlighting new (and old) approaches in one clear, easy to read article. Two representative applications are used throughout to explore the suitability, or lack thereof, of the existing methods; one of which, highlights a challenge that has not been addressed in the literature yet. We identify some of the gaps in the present work and discuss directions for future research.