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October 5, 2015

The basic goal of statistics is to estimate population parameters. Data is collected and used

to form the required estimator. The point-of-view of frequentist statistics is that parameter

estimation is based on long-run averages which is justified by results such as the central

limit theorem and the strong law of large numbers.

However, another point-of-view is that the experimenter never has complete lack of knowledge of the population parameter, but rather has some prior (a priori ) knowledge or a

reasonable guess of what the parameter is. The data are then collected and used to update (a posteriori ) information about the parameter. This second approach is known as

Bayesian statistics.

Example. Consider tossing a coin but assume that nothing is known about q = P {head}.

Let Xn denote the number of heads after n tosses. One possible model for this situation is

Xn |Q = q 2 Bin(n, q) with Q 2 U (0, 1).

(a) Determine the unconditional distribution of Xn .

(b) Determine the posterior distribution of Q given Xn = k.

Solution. (a) For k = 0, 1, 2, . . . , n, we obtain from the law of total probability that

Z 1

P {Xn = k} =

P {Xn = k|Q = q}fQ (q) dq

0

Z 1

n k

=

q (1 q)n k 1 dq

k

0 Z 1

n

=

q (k+1) 1 (1 q)(n+1 k) 1 dq

k

0

n (k + 1) (n + 1 k)

=

using facts about the beta distribution

k

(k + 1 + n + 1 k)

n!k!(n k)!

=

(n k)!k!(n + 1)!

1

=

.

n+1

That is, Xn is uniform on {0, 1, . . . , n}.

121

(b) As for the posterior distribution of Q given Xn = k, we find using Bayes Rule (i.e., the

definition of conditional probability) that

fQ|Xn =k (q) =

=

P {Xn = k}

n

k

q k (1

q)n

1

n+1

n k

= (n + 1)

q (1 q)n k

k

n!

= (n + 1)

q k (1 q)n k

k!(n k)!

(n + 1! k

=

q (1 q)n k

k!(n k)!

(n + 2)

=

q k (1 q)n

(k + 1) (n + 1 k)

provided that 0 < q < 1. Note that we used the fact that (p+1) = p! whenever p is a positive

integer. In summary, the posterior distribution of Q given Xn = k is (k + 1, n + 1 k).

Example. If X|N = n 2 Bin(n, p) with N 2 Po( ), determine the distribution of X.

Solution. If X|N = n 2 Bin(n, p), then for k = 0, 1, 2, . . .,

n k

P {X = k|N = n} =

p (1 p)n k .

k

Therefore, if k = 0, 1, 2, . . ., it follows that

1

1

X

X

n k

P {X = k} =

P {X = k|N = n}P {N = n} =

p (1

k

n=0

n=k

p)n

e

n!

Note that we used the fact that n must necessarily be at least equal to k. Indeed, if we have

observed k successes, then there necessarily must have been at least k trials. Continuing, we

find

1

1

X

X

pk

n!(1 p)n k n

pk

(1 p)n k n

P {X = k} = e

= e

.

k!

(n k)!n!

k!

(n k)!

n=k

n=k

We now observe that two of the terms in the summand depend on n only through n k.

Moreover, we see that if n = k, then n k = 0. Thus means that we want to write

n

= n k+k = k n k which implies that

1

1

X

X

pk k

(1 p)n k n k ( p)k

( (1 p))n k

P {X = k} =

e

=

e

k!

(n k)!

k!

(n k)!

n=k

n=k

( p)k e

=

k!

( p)k e

k!

( p)k e

=

k!

1

X

( (1

j=0

122

(1 p)

p))j

j!

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