Universiteit Hasselt Concepts in Bayesian Inference Exam June 2015

UNIVERSITEIT HASSELT
Concepts in Bayesian Inference

Exam June 2015
Name: ...............................................................
1. The exam lasts for 3 hours.

2. The exam is open book and consists of 2 parts:
questions about the project (written + oral) and
questions about the theory/general understanding
(written).
3. Calculators are permitted.
4. Show your work and reasoning to the fullest extent
possible so that part marks can be assigned as war-
ranted.
5. A table of normal distribution values for various
right-hand tail probabilities and list of distributions
is appended.
GOOD LUCK!
1. (1 point) Explain briefly what is meant by saying that, in a particular
Bayesian statistics problem, a prior distribution is ‘conjugate’ ?
2. (1 point) Give one advantage and one disadvantage of the Bayesian

paradigm as compared to classical (frequentist) statistics.
3. (2 points) A chemist carries out an experiment to study the melting
point θ of a newly developed compound. The measurements of the
melting point are independent and can be assumed to follow a normal
distribution, with mean θ and standard deviation 0.3.
(a) Before carrying out any measurement, the chemist’s believe of

the most likely value of θ is 10. She also assesses the probability
that θ is smaller than 5 to be 0.1. Assuming that her belief can
be represented adequately by a normal distribution, obtain the
parameters of the prior.
(b) In the experiment, four observations are made with values 6.1,
4.9, 5.5 and 5.8. Calculate the posterior distribution for θ based
on these observations and the chemist’s prior.
(c) If instead, a non-informative prior for θ was chosen, what would
be her posterior mean and variance?
4. (2 points) Assume that x1 , . . . , xn are an independent and identically
distributed sample from a geometric distribution with parameter θ.
(a) Show that a Beta(a, b) prior is conjugate in this situation. Find

the mathematical form of the posterior density p(θ|x1 , . . . , xn ).
Show your calculations.
(b) Compute the posterior distribution of θ under a U nif orm(0, 1)
prior.
5. (2 points) It is desired to estimate the posterior means of three param-
eters, namely θ, δ and φ. Let y be the observed data, described by
density p(y|θ, δ, φ). The following conditional distributions
p(θ|y), p(δ|θ, y), p(φ|θ, δ, y)
are known.
(a) Explain carefully how a sample from the joint posterior of the
parameters can be obtained using the method of composition.
(b) Explain how the posterior mean of δ may be estimated from this
sample.
(c) Explain how a sample from the posterior predictive distribution
of y can be obtained.
(d) How can the algorithm be modified if the parameter δ is con-
strained to lie in the interval (d1 , d2 )?
6. (2 points) Two Bayesian tools for hypothesis testing of H0 : θ = 0 are
the contour probabilities and Bayes factor.
(a) Explain in words how the contour probability is defined.

(b) Explain the difference between the Bayes factor and likelihood
ratio test.
List of distributions
Beta distribution
If X ∼ beta(a, b) then it has density
Γ(a + b) a−1
f (x|a, b) = x (1 − x)b−1
Γ(a)Γ(b)
for 0 < x < 1, a > 0, b > 0.
Further, E(X) = a/(a + b) and V ar(X) = ab/{(a + b)2 (a + b + 1)}
Gamma distribution
If X ∼ gamma(a, b) then it has density
ba a−1 −bx
f (x|a, b) = x e
Γ(a)
for x > 0, a > 0, b > 0.
Further, E(X) = a/b and V ar(X) = a/b2
Geometric distribution
If X ∼ geometric(θ) then it has probability function
f (x|θ) = (1 − θ)x−1 θ
for x = 1, 2, ... and 0 < θ < 1.
Further, E(X) = 1/θ and V ar(X) = (1 − θ)/θ2
Poisson distribution
If X ∼ P oisson(λ) then it has probability function
λx e−λ
f (x|λ) =
x!
for x = 0, 1, 2, ... and λ > 0.
Further, E(X) = λ and V ar(X) = λ
Normal distribution
If X ∼ N (µ, σ 2 ) then it has density
!
1 (x − µ)2
f (x|µ, σ 2 ) = √ exp −
2πσ 2 2σ 2
for −∞ < x < ∞, −∞ < µ < ∞ and σ > 0.
Further, E(X) = µ and V ar(X) = σ 2
Standard Normal distribution table
Z x
P(X ≤ x) = ϕ(t)dt
X ∼ N (0, 1) −∞
-3 -2 -1 0 1 2 3
0 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09

0 0.5000 0.5040 0.5080 0.5120 0.5160 0.5199 0.5239 0.5279 0.5319 0.5359
0.1 0.5398 0.5438 0.5478 0.5517 0.5557 0.5596 0.5636 0.5675 0.5714 0.5753
0.2 0.5793 0.5832 0.5871 0.5910 0.5948 0.5987 0.6026 0.6064 0.6103 0.6141
0.3 0.6179 0.6217 0.6255 0.6293 0.6331 0.6368 0.6406 0.6443 0.6480 0.6517
0.4 0.6554 0.6591 0.6628 0.6664 0.6700 0.6736 0.6772 0.6808 0.6844 0.6879
0.5 0.6915 0.6950 0.6985 0.7019 0.7054 0.7088 0.7123 0.7157 0.7190 0.7224
0.6 0.7257 0.7291 0.7324 0.7357 0.7389 0.7422 0.7454 0.7486 0.7517 0.7549
0.7 0.7580 0.7611 0.7642 0.7673 0.7704 0.7734 0.7764 0.7794 0.7823 0.7852
0.8 0.7881 0.7910 0.7939 0.7967 0.7995 0.8023 0.8051 0.8078 0.8106 0.8133
0.9 0.8159 0.8186 0.8212 0.8238 0.8264 0.8289 0.8315 0.8340 0.8365 0.8389
1 0.8413 0.8438 0.8461 0.8485 0.8508 0.8531 0.8554 0.8577 0.8599 0.8621
1.1 0.8643 0.8665 0.8686 0.8708 0.8729 0.8749 0.8770 0.8790 0.8810 0.8830
1.2 0.8849 0.8869 0.8888 0.8907 0.8925 0.8944 0.8962 0.8980 0.8997 0.9015
1.3 0.9032 0.9049 0.9066 0.9082 0.9099 0.9115 0.9131 0.9147 0.9162 0.9177
1.4 0.9192 0.9207 0.9222 0.9236 0.9251 0.9265 0.9279 0.9292 0.9306 0.9319
1.5 0.9332 0.9345 0.9357 0.9370 0.9382 0.9394 0.9406 0.9418 0.9429 0.9441
1.6 0.9452 0.9463 0.9474 0.9484 0.9495 0.9505 0.9515 0.9525 0.9535 0.9545
1.7 0.9554 0.9564 0.9573 0.9582 0.9591 0.9599 0.9608 0.9616 0.9625 0.9633
1.8 0.9641 0.9649 0.9656 0.9664 0.9671 0.9678 0.9686 0.9693 0.9699 0.9706
1.9 0.9713 0.9719 0.9726 0.9732 0.9738 0.9744 0.9750 0.9756 0.9761 0.9767
2 0.9772 0.9778 0.9783 0.9788 0.9793 0.9798 0.9803 0.9808 0.9812 0.9817
2.1 0.9821 0.9826 0.9830 0.9834 0.9838 0.9842 0.9846 0.9850 0.9854 0.9857
2.2 0.9861 0.9864 0.9868 0.9871 0.9875 0.9878 0.9881 0.9884 0.9887 0.9890
2.3 0.9893 0.9896 0.9898 0.9901 0.9904 0.9906 0.9909 0.9911 0.9913 0.9916
2.4 0.9918 0.9920 0.9922 0.9925 0.9927 0.9929 0.9931 0.9932 0.9934 0.9936
2.5 0.9938 0.9940 0.9941 0.9943 0.9945 0.9946 0.9948 0.9949 0.9951 0.9952
2.6 0.9953 0.9955 0.9956 0.9957 0.9959 0.9960 0.9961 0.9962 0.9963 0.9964
2.7 0.9965 0.9966 0.9967 0.9968 0.9969 0.9970 0.9971 0.9972 0.9973 0.9974
2.8 0.9974 0.9975 0.9976 0.9977 0.9977 0.9978 0.9979 0.9979 0.9980 0.9981
2.9 0.9981 0.9982 0.9982 0.9983 0.9984 0.9984 0.9985 0.9985 0.9986 0.9986
3 0.9987 0.9987 0.9987 0.9988 0.9988 0.9989 0.9989 0.9989 0.9990 0.9990

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UNIVERSITEIT HASSELT

Concepts in Bayesian Inference

1. The exam lasts for 3 hours.

2. (1 point) Give one advantage and one disadvantage of the Bayesian

(a) Before carrying out any measurement, the chemist’s believe of

(a) Show that a Beta(a, b) prior is conjugate in this situation. Find

p(θ|y), p(δ|θ, y), p(φ|θ, δ, y)

(a) Explain in words how the contour probability is defined.

0 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09

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