Chains of distributions, hierarchical Bayesian models and Benford's Law

Kossovsky recently conjectured that the distribution of leading digits of a chain of probability distributions converges to Benford's law as the length of the chain grows. We prove his conjecture in many cases, and provide an interpretation in terms of products of independent random variables a...

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Bibliographic Details
Published in:arXiv.org 2008-06
Main Authors: Jang, Dennis, Kang, Jung Uk, Kruckman, Alex, Kudo, Jun, Miller, Steven J
Format: Article
Language:English
Subjects:
Bayesian analysis
Computer simulation
Convergence
Digits
Independent variables
Markov chains
Mellin transforms
Normal distribution
Random variables
Online Access:Get full text
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Summary:Kossovsky recently conjectured that the distribution of leading digits of a chain of probability distributions converges to Benford's law as the length of the chain grows. We prove his conjecture in many cases, and provide an interpretation in terms of products of independent random variables and a central limit theorem. An interesting consequence is that in hierarchical Bayesian models priors tend to satisfy Benford's Law as the number of levels of the hierarchy increases, which allows us to develop some simple tests (based on Benford's law) to test proposed models. We give explicit formulas for the error terms as sums of Mellin transforms, which converges extremely rapidly as the number of terms in the chain grows. We may interpret our results as showing that certain Markov chain Monte Carlo processes are rapidly mixing to Benford's law.
ISSN:2331-8422