On weakly informative prior distributions for the heterogeneity parameter in Bayesian random‐effects meta‐analysis

The normal‐normal hierarchical model (NNHM) constitutes a simple and widely used framework for meta‐analysis. In the common case of only few studies contributing to the meta‐analysis, standard approaches to inference tend to perform poorly, and Bayesian meta‐analysis has been suggested as a potential solution. The Bayesian approach, however, requires the sensible specification of prior distributions. While noninformative priors are commonly used for the overall mean effect, the use of weakly informative priors has been suggested for the heterogeneity parameter, in particular in the setting of (very) few studies. To date, however, a consensus on how to generally specify a weakly informative heterogeneity prior is lacking. Here we investigate the problem more closely and provide some guidance on prior specification.