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

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

2008-05-27

arxiv.org/abs/0805.4226v2

Journal of Algebra, Number Theory: Advances and Applications, volume 1, number 1 (March 2009), 37--60

Mathematics

Probability

15 pages, second draft: added some additional remarks on connections to Hierarchical Bayes and MCMC, fixed some typos, added a

Scientific paper

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.

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