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Weyl Prior and Bayesian Statistics

When using Bayesian inference, one needs to choose a prior distribution for parameters. The well-known Jeffreys prior is based on the Riemann metric tensor on a statistical manifold. Takeuchi and Amari defined the $α$-parallel prior,, which generalized the Jeffreys prior by exploiting higher-order geometric object, known as Chentsov-Amari tensor. In this paper, we propose a new prior based on the Weyl structure on a statistical manifold. It turns out that our prior is a special case of the $α$-parallel prior with the parameter $α$ equals $-n$, where $n$ is the dimension of the underlying statistical manifold and the minus sign is a result of conventions used in the definition of $α$-connections. This makes the choice for the parameter $α$ more canonical. We calculated the Weyl prior for univariate Gaussian and multivariate Gaussian distribution. The Weyl prior of the univariate Gaussian turns out to be the uniform prior.