Expert-elicitation method for non-parametric joint priors using normalizing flows

The Bayesian paradigm offers the possibility to incorporate prior knowledge into a statistical model through the specification of prior distributions. This possibility is a central advantage of the Bayesian paradigm (Mikkola et al 2023), yet it also presents one of its most challenging aspects (Simpson et al 2017; lgorzata Roos et al 2015; Van Dongen 2006). In the following, we define prior knowledge as the expertise provided by a domain expert -- an individual with extensive knowledge of a specific subject matter (Falconer et al 2022). This knowledge can be represented in various forms, but to integrate it into a Bayesian model, we need to translate it into a formal mathematical language that can be expressed as a prior distribution over the model parameters (Perepolkin et al 2023; O'Hagan 2019; Martin et al 2012; Garthwaite et al 2005). A whole field of research, commonly referred to as (expert) prior elicitation, has emerged around the question of how to gather expert knowledge and translate it into appropriate prior distributions (Stefan et al 2022; Mikkola et al 2023; Falconer et al 2022).