Constructing Priors that Penalize the Complexity of Gaussian Random Fields

Understand

Priors are important for achieving proper posteriors with physically meaningful covariance structures for Gaussian random fields (GRFs) since the likelihood typically only provides limited information about the covariance structure under in-fill asymptotics.

• We extend the recent Penalised Complexity prior framework and develop a principled joint prior for the range and the marginal variance of one-dimensional, two-dimensional and three-dimensional Mat\'ern GRFs with fixed smoothness.
• The prior is weakly informative and penalises complexity by shrinking the range towards infinity and the marginal variance towards zero.
• We propose guidelines for selecting the hyperparameters, and a simulation study shows that the new prior provides a principled alternative to reference priors that can leverage prior knowledge to achieve shorter credible intervals while maintaining good coverage.