The Effect of the Prior and the Experimental Design on the Inference of the Precision Matrix in Gaussian Chain Graph Models

Here, we investigate whether (and how) experimental design could aid in the estimation of the precision matrix in a Gaussian chain graph model, especially the interplay between the design, the effect of the experiment and prior knowledge about the effect. We approximate the marginal posterior precision of the precision matrix via Laplace approximation under different priors: a flat prior, the conjugate prior Normal-Wishart, the unconfounded prior Normal-Matrix Generalized Inverse Gaussian (MGIG) and a general independent prior. We show that the approximated posterior precision is not a function of the design matrix for the cases of the Normal-Wishart and flat prior, but it is for the cases of the Normal-MGIG and the general independent prior. However, for the Normal-MGIG and the general independent prior, we find a sharp upper bound on the approximated posterior precision that does not involve the design matrix which translates into a bound on the information that could be extracted from a given experiment. We confirm the theoretical findings via a simulation study comparing the KL divergence between the prior and the posterior (i.e. information gain by the experiment) and the Stein's loss difference between random versus no experiment (design matrix equal to zero). Our findings provide practical advice for domain scientists conducting experiments to infer the interactions between a multidimensional response.