Prior elicitation for ARX

[smidl]

Prior elicitation was one of the strengths of mixtools. The task is to select relevant tools and convert them into BDM.

Question: Prior elicitation is a modification of very flat prior using some information, In this spirit, recursive bayesian estimation can be seen as one way of prior elicitation. The question is if elicitation from several knowledge sources is additive. If it is, then we can design specialized method for each source, otherwise, we need to build one monolitic method that can handle all sources.

In software, the difference would be either:

• ARX.elicit_gain(known_gain); ARX.elicit_freq(known_freq,...);

or

• ARX.elicit(Structure_with_all_sources);

From software perspective, the former is easier, for the latter we would have to do more thinking on nature of "Structure_of_all_sources".

Please comment.