Maximum A Posteriori Estimation

Anand K [4GL14EC002]

Government Engineering College,

Kushalnagar-571234

September 7, 2019

Anand K [4GL14EC002] Maximum A Posteriori Estimation

Outline

1 Probability Density Function

2 Maximum A Posteriori Estimation

Anand K [4GL14EC002] Maximum A Posteriori Estimation

Probability Density Function

Definition
Probability density function is a statistical expression that
defines a probability distribution for a continuous random variable.
 2

f(x) = √ 1 2 exp −(x−µ)2σ 2
2πσ

Conditions :
1 f(x)≥0
+∞
R
2 f(x)dx=1
−∞

Anand K [4GL14EC002] Maximum A Posteriori Estimation

Maximum A Posteriori Estimation

Definition
In Bayesian statistics, a maximum a posteriori probability (MAP)
estimate is an estimate of an unknown quantity, that equals the
mode of the posterior distribution.

1 The posterior distribution, fX |Y (x|y ) contains all

the knowledge about the unknown quantity X.
2 Therefore, we can use the posterior distribution
to find point or interval estimates of X.
3 One way to obtain a point estimate is to choose
the value of x that maximizes the posterior PDF
(or PMF). This is called the maximum a
posteriori (MAP) estimation.
Anand K [4GL14EC002] Maximum A Posteriori Estimation
MAP Estimation

The MAP estimate of the random variable X, given

that we have observed Y = y, is given by the value
of x that maximizes

fX |Y (x|y ) if X is a continuous random variable,

PX |Y (x|y ) if X is a discrete random variable,

Λ
The MAP estimate is shown by x
MAP

Anand K [4GL14EC002] Maximum A Posteriori Estimation

MAP Estimation

To find the MAP estimate, we need to find the

value of x that maximizes,
fY |X (y |x)fX (x)
fX |Y (x|y ) = fY (y )

Note that fY (y ) does not depend on the value of x.

Therefore, we can equivalently find the value of x
that maximizes,

fY |X (y |x)fX (x)

Anand K [4GL14EC002] Maximum A Posteriori Estimation

MAP Estimation

1 Given data
D = (x1 , .................., xn ) where xi ∈ Rd
2 Assume a joint distribution P(D|θ)
3 Compute the maximum of P(θ|D)
4 From Bayes theorem
P(D|θ)P(θ)
P(θ|D) = P(D)
5 The method
Λ
θ = argmax P(θ|D)
MAP θ

Anand K [4GL14EC002] Maximum A Posteriori Estimation

Anand K [4GL14EC002] Maximum A Posteriori Estimation
Thank You All

Anand K [4GL14EC002] Maximum A Posteriori Estimation