Cross Validated Asked by LiKao on December 8, 2021
I am doing a lot of modeling with models that require some parameters to be positive by design. However, I am struggling to figure out which approach works best when I try to use multilevel modeling with these types of models.
My current approach ist to draw the individual parameters from a lognormal distribution, to ensure the resulting parameters are always positive. I.e.
$theta_i sim lognormal(mu_theta,sigma_theta^2)$
However, then I need a method to also determine the group-level parameters $mu_theta$ and $sigma_theta^2$. In my modeling experiments, I have tried drawing either the parameter $mu_theta$ from a normal, or drawing the group-level mode, mean or median from a lognormal or gamma distribution as a hyperprior and then translating this to the distribution parameter. This often gives different results and I am not sure which results should be trusted more.
Are there any guidelines on how to model such purely positive parameters in a multilevel model and which distributions to use a hyperprior?
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