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I'm trying to make the choice between the gamma and Gaussian distributions as a prior distribution for some data. When I learned statistics a while ago, I was given the rule of thumb: if your data should be Gaussian, but small and all-positive, then gamma is a better choice.

I'm not sure how to apply this rule when I have a choice of gauge. I have two gauges; one shows that my data are large in magnitude, and one shows that my data are small (but positive). How should I choose my prior distribution?

To be concrete: I'm writing a tool that summarizes data from video-game speedrunning. When measured in (milli)seconds, durations are long; but when measured in minutes or (sometimes) hours, durations are short.

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    $\begingroup$ As you've almost discovered, the scale of the data doesn't really matter; you can simply change the unit of measurement, but the underlying distribution's functional form won't change. A better question is: Is your data skewed to the right? If so, the Gamma will likely fit better than the Normal. $\endgroup$
    – jbowman
    Commented May 6 at 1:57
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    $\begingroup$ Think about scale more in terms of how many standard deviations the conditional mean (assuming some predictors/groups) is above 0. If it's only likely to be a few - say less than 3 or 4, you should expect considerable skewness, and if it's much larger then the distribution may be only quite mildly skew. However, more important still is how many orders of magnitude the mean covers across the data, since the spread of positive values will tend to be related to the mean (consider starting somewhere far from 0 and imagine the mean dropping closer and closer to 0; what happens to the spread?) $\endgroup$
    – Glen_b
    Commented May 6 at 6:42
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    $\begingroup$ A warning not to be fooled into looking at marginal distributions if you have any predictors/IVs/covariates. $\endgroup$
    – Glen_b
    Commented May 6 at 6:43
  • $\begingroup$ @jbowman: I worked it out for the gamma case, and you're right; there's a nice gauge-invariance to gamma's parameters. Want to write an answer for points? If not, I'll self-answer with the equations written out. $\endgroup$
    – Corbin
    Commented May 10 at 23:25
  • $\begingroup$ Nah, you do it; you worked it out. But thanks! $\endgroup$
    – jbowman
    Commented May 11 at 0:25

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It turns out that both distributions have a sort of gauge-invariance which makes the question irrelevant; use other hints to make the choice between Gaussian and gamma.

First, let's walk through the Gaussian case, which is much simpler. Let $\mu$ and $\sigma$ be our mean and standard deviation respectively, and note that they carry the same units. Given a scalar $k$ which maps from one (univariate) gauge to another, we want $k\mu$ and $k\sigma$ to be our new mean and standard deviation with the new units. Continuing the example in the question and considering units of time, we might want to map 2min ± 1min to 120s ± 60s by setting $k=60$ and mapping from minutes to seconds.

That all follows directly and effortlessly from definitions. Now, let's work out the same scaling for gamma distributions. We'll use the alpha-beta definition, so for the distribution $\Gamma(\alpha,\beta)$, set:

$$ \mu = \frac{\alpha}{\beta} \\ \sigma = \frac{\sqrt{\alpha}}{\beta} $$

Since $\mu$ and $\sigma$ have the same units, by dimensional analysis, $\alpha$ must be dimensionless and $\beta$ has the inverse units of $\mu$. We should therefore hope that scaling by $k$ means no change to $\alpha$ and an inverse multiplication to $\beta$, so that the units work out. And indeed, we can massage our equations after scaling:

$$ k\mu = \alpha\frac{k}{\beta} \\ k\sigma = \sqrt{\alpha}\frac{k}{\beta} $$

Which is $\Gamma(\alpha, \frac{\beta}{k})$. So gamma distributions are not clueless about the choice of gauge, but it is straightforward to rescale the distribution for any particular change in gauge.

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