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    Bayesian Statistics Probabilities Are Subjective

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    Dorian Grey
    This document discusses Bayesian statistics and the Bayesian approach to statistical inference. It introduces the key concepts of the prior distribution, which represents knowledge about a parameter before observing data, and the posterior distribution, which represents updated knowledge about the parameter after observing data. The posterior is calculated by combining the prior with the likelihood of the data using Bayes' rule. Examples are given where the prior and posterior distributions for the probability of success in binomial experiments are beta distributions. The mathematical details of how the beta prior leads to a beta posterior are also outlined.

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    Bayesian Statistics Probabilities Are Subjective

    Uploaded by

    Dorian Grey
    9 views6 pages
    This document discusses Bayesian statistics and the Bayesian approach to statistical inference. It introduces the key concepts of the prior distribution, which represents knowledge about a parameter before observing data, and the posterior distribution, which represents updated knowledge about the parameter after observing data. The posterior is calculated by combining the prior with the likelihood of the data using Bayes' rule. Examples are given where the prior and posterior distributions for the probability of success in binomial experiments are beta distributions. The mathematical details of how the beta prior leads to a beta posterior are also outlined.

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    This document discusses Bayesian statistics and the Bayesian approach to statistical inference. It introduces the key concepts of the prior distribution, which represents knowledge about a parameter before observing data, and the posterior distribution, which represents updated knowledge about the parameter after observing data. The posterior is calculated by combining the prior with the likelihood of the data using Bayes' rule. Examples are given where the prior and posterior distributions for the probability of success in binomial experiments are beta distributions. The mathematical details of how the beta prior leads to a beta posterior are also outlined.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    9 views6 pages

    Bayesian Statistics Probabilities Are Subjective

    Uploaded by

    Dorian Grey
    This document discusses Bayesian statistics and the Bayesian approach to statistical inference. It introduces the key concepts of the prior distribution, which represents knowledge about a parameter before observing data, and the posterior distribution, which represents updated knowledge about the parameter after observing data. The posterior is calculated by combining the prior with the likelihood of the data using Bayes' rule. Examples are given where the prior and posterior distributions for the probability of success in binomial experiments are beta distributions. The mathematical details of how the beta prior leads to a beta posterior are also outlined.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 6

    Bayesian statistics

    So far we have thought of probabilities as the long term


    “success frequency”: #successes / #trails → P(success).

    In Bayesian statistics probabilities are subjective!


    Examples
    * Probability that two companies merge
    * Probability that a stock goes up
    * Probability that it rains tomorrow

    We typically want to make inference for a parameter θ, for


    example µ, σ2 or π. How is this done using subjective
    probabilities?

    1 lecture 8
    Bayesian statistics
    Bayesian idea: We describe our “knowledge” about the
    parameter of interest, θ, in terms of a distribution π(θ). This
    is known as the prior distriubtion (or just prior) – as it
    describes the situation before we see any data.

    Example: Assume θ is the probability of success.


    Prior distributions describing what value we think θ has:

    2 lecture 8
    Bayesian statistics
    Posterior
    Let x denote our data. The conditional distribution of θ
    given data x is denoted the posterior distribution:
    f (x | θ )π (θ )
    π (θ | x ) =
    g (x )

    Here f(x|θ) how data is specified conditional on θ.

    Example:
    Let x denote the number of successes in n trail.
    Conditional θ, x follows a binomial distribution:
    n x
    f ( x | θ ) =  θ (1 − θ ) n − x
     x
    3 lecture 8
    Bayesian statistics
    Posterior – some data
    We now observe n=10 experiment with x=3 successes, i.e.
    x/n=0.3
    Posterior distributions – our “knowledge” after having seen
    data.

    Shaded area: Prior distribution


    Solid line: Posterior distribution
    Notice that the posteriors are moving towards 0.3.
    4 lecture 8
    Bayesian statistics
    Posterior – some data
    We now observe n = 100 experiment with x = 30 successes,
    i.e. x/n = 0.3
    Posterior distributions – our “knowledge” after having seen
    data.

    Shaded area: Prior distribution


    Solid line: Posterior distribution
    Notice that the posteriors are almost identical.
    5 lecture 8
    Bayesian statistics
    Mathematical details
    The prior is given by a so-called Beta distribution with
    parameters α > 0 and β > 0:
    Γ(α + β ) α −1
    π (θ ) = θ (1 − θ ) β −1 for 0 ≤ θ ≤ 1
    Γ(α )Γ( β )

    The posterior then becomes

    Γ(α + β + n)
    π (θ | x) = θ α + x −1 (1 − θ ) β + n − x −1
    Γ(α + x)Γ( β + n − x)

    a Beta distribution with parameters α+x and β+n−x.

    6 lecture 8

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