Prior knowledge elicitation: The past, present, and future

Understand

Specification of the prior distribution for a Bayesian model is a central part of the Bayesian workflow for data analysis, but it is often difficult even for statistical experts.

• In principle, prior elicitation transforms domain knowledge of various kinds into well-defined prior distributions, and offers a solution to the prior specification problem.
• In practice, however, we are still fairly far from having usable prior elicitation tools that could significantly influence the way we build probabilistic models in academia and industry.
• We lack elicitation methods that integrate well into the Bayesian workflow and perform elicitation efficiently in terms of costs of time and effort.