Intro-Bayes Theory
Intro-Bayes Theory
Bayesian Statistics
Camila Caiado
Associate Professor in Statistics
Warm-up
Treasure
Bayesian Treasure Hunt
Repeat as many times as you can afford. Sequentially update your
prior based on your previous observations. Use Bayes’ theorem to
update your beliefs about the treasure location.
If the pirate is with you, you might want to include in your model
whether you believe what they are saying or not!
Bayesian Inference
Prior distribution: this distribution describes what you know about the
parameter you want to estimate but excludes information in the data.
Likelihood: includes modelling assumptions and asserts how likely the
observed data are given your parameter.
Posterior distribution: update what we know about the parameter by
combining the prior and the data.
Posterior ∝ Likelihood × Prior
Update your model as more data becomes available and you will eventually
be able to bet on the location of the treasure.
How do you choose a prior?