Functionally compatible local characteristics for the local specification of priors in graphical models

The local specification of priors in non-decomposable graphical models does not necessarily yield a proper joint prior for all the parameters of the model. Using results concerning general exponential families with cuts, we derive specific results for the multivariate Gamma distribution (conjugate prior for Poisson counts) and the Wishart distribution (conjugate prior for Gaussian models). These results link the existence of a locally specified joint prior to the solvability of a related marginal problem over the cliques of the graph.