Date

Fag

ECat)EP)
( 1) 2

2 1 nptP
n42

EIP)
in_eq O, w have
Now putti ng

RUTd) E (nPC1-P)+n*p+ 2nP t1)

n+2)

2 nt 2

E OPL-P) + D*P+ 2n P+1-2 (n+2Yn

R LTd) (nt
+(n+) P3
Cht 2
DPI-P) +~p*+ 2p +1- 207p 2p-4
ED+) 4P + n P + 4P*+ 4P

nPCI-P)+|-L4etp*|
ETn+2)2 J

ET P(I-P) + (1-2P)
RUT, 4 ET nf-P) + (1-2p)
Cn ta)

RITT4) 4) =P - P ) + ( - 2 ) d e
n+2)2

cn+2) | nf - np+(1-2P)dP
2

OP- (1-2P) d
(n+2)
 3 () J

(ht2)

n+2
6 (n+) n+)

RT d)
Cn+2)
219
2022

a e x 2, n NE 1)_ ahere e RRTTh pritr

dist e s NLE) n d the Bayes esHmatr c
wnder
iSquared e m s s funchion
iAstlute er lS funchina
12 ren zi-e)2
F(xe) - Co X< Co

2T) xN(e,1)
T(e)
217
Th joiwt pdf iS

e) T(e)
(i- 6)
e

TTn+T xp zi-e)e
ep 2-2erx+ ne+e)

e px i - 2e7xi+
(p+1) eA
 -(D62
e e
(,e) e
(JT)nHI -(nt
T e
e

2 t )n+ -Lnt) 6 2n 7e
e
-2n n7 n
He) e n+I (n+i)2
(nt
i

e - ni (R)
(2TT
n
eps Un+)
ntT
2(ntl
e

2(n+)
-(ne-n)
- X,6) =

Th margina_dsibuin ofxS,
C

() l e ) de
2

e 2(n+1) e -n
de
nt 2
(2)

e 2Cnt1) de
CO

2(n+i)ht C

(L) nth
 clAssMAe
Date
Page

2Cn+
x pdF
(211)I h+T OYmad disFh

Zi+ n'z
g Cx) nt1) a(nt1)
e
-

Th postericr disrh of e is given by.

9 (x)
t )
t(f0|x) e 2Cnt1) ntI

(2T
hti)/

(27) / 2 2¬ntH

f(el x)
nD(e- ni
nt
211 2V41-n_1:

e
ht 21T

chich sp.d bt N
ht ht1/
i) Th bayesesHcutn 0F B
wn der squared embY
tunchM S me

nt
ii the Bcyes es himact o wder cbsolute
emDY oss tunthon median1e _n
nt
( Nrma dis IS
Symmetic)
Mode edianr
 elassite
Date 2D122
Page
Borsed on pos n diS)

Conside 6 Aoaded dice with tolowing Properhs

A has probability o of ominq up 6, each tt
each
clice B and C baa probability0:2 of Cov
up
up 6
6 each_of of dite DE SF hab prba
proba
03 oF wnA p 6
A dice s chor sen randomly trom he six
dice SLYolled twice om both occahons 6 &nes ,

what s the posterio prDb. disth

probabilîH 6 (omîna up_0n Hhe chdsen die
so let - be the no. + Hmes h a t 6 mes u
m t h tuooTolls ot f h -eoke
chosen die
- be the pmb ot 6 COmina up 09 5a
single oll ot that die
y B (2 0) binnial

f(B) n:2 e (1-6)2-9

. W

f L0)=
26
O3

In this Case, y-2 So

f(916) = ( (1-e)°
FL) fle).f (916) =E
f(o). . fl91e)
0.2, 0- 3

0.1+ 2(02)+ 3 (o- 3)- 0. ol +

O.D
 ate

fU) 004
so tay f (e y) tY,6) f()f(e)
()

o2 O 62
O 06

O.222 e-o-2

(0:3). 3l 0.3
(O 06

Coniugate Pmor Dsmbution

Det: Aben the nu and
postenr disth are
members of th sameclass of diS
s weSay
that they t m a_ Cnugate
paur c that the
Cmiugote
OR
et X fa/e) Thepir dish_ T (e) of e is
said
Sad to be CUmjugae pn disthoF e E he
poserY disth of e s also a member ot fauul
odsibuiom e).
frs e Consideer the binomia beta model
(Ye) w Binomial (n,e)
Bera (a P).
) ~ Beta
d+ , P+n -y) Posteri
Sine, both prior posposten are beroa the pr
Tscon jugate
2 Consider, the
t )
exponeojal-exponeotial
6 e- y
model
t(e) e . -. Gamma (L).
pno
 elASSM
Date
pon

(ey) Gamma (2,y+1) - posfenr disth

Since both prir p o s t e n or are qamma, the
he
pior S (onj ugcute

Considerder Unifem- Unifem mod e

U(O, )
(0,1)
then
y<e<<|

W
PD.Stenor

In this case p 1s disureke uniform but

fhe pas tericr dG S not SD )o h s case
223 22
pmier s notCmjugate .

Tmpoper r
funuim
Lmpmpe prror fun is defined oo a posiHve
poitive
fun TT (E) SE T(G) d i s no fiute. In othu
WOxdls,am mapYDper prioy (e) is a fun Such
TT () de -co e TT () 3hot a
pdt
pdf

Houoever, th petteriu Cam sill be o el defi

defined

sana0 Th manqina drsph

+t M():|(X|6) TT C6)de is we
def

fen E K C3aple spacu)

0sìnq am îwpLproperf
somehwMes ES f Conveniente becawe So S o m e

ers mauy wt Oamt to spend Hme s searchi

pro perpm
Po per hbhthere is l t of daa
then

otfen L leas
pmr wpotat
 ASSMAte
Data
Pag?

for One
hrequently se
pnor TT ()=1 iupoper pri is o unitr uniform
m
6E (parnawmeter space)which
presentS
presennts nD
pmoY nter maim abo
e
parameter Space *S
be When
When
e) de co
nfinitein size. oe have

However (es ponmdiug marqîha d+st? ie

MC) f(Ie) (e) de

f()1 de
f e ) de
COn be eldefmed,
for eg,t XN(u, 3).
i-e f(x[ u) ( (4
e
217?)
TT ( ) : - cO to

Then
Mongnal
d Ma): f ( | ) TT (U) du

Thun Th postenio becowes,

f (uI= f(X,
M)
w ell defmed Dsterjo disth

Note LpYDper p Cr a n a are somehme dangerou

they may ead to inpDper posterjor dishlbuic

 Dcte
page

Impnper Prir eads to well defined Fosterio

DistD
Lm proper pior t mean o nomau
n

et a Nn areid noma vomate

mean e& vamane oh r i
TT(O) E C C O Y E -c0, co).
ThePn isunifen Dver rea Line
i n e ii-e
- e au
value e is equalUy ikely. Thx is awm lw
w
per pm because. c de
The maxqinadist ot 9 iS
fI9)
f(Y,e) de f(96) T(e) de
-CO

flu) ep LSi-e)-}tde
2)
C

p (i-e) de

exp (Tyi-2yiB+ nede

(22
cexp Iy CO

ex (ne 21ye ) de
Cep Iy;*)
3 (a7"2 ,Cnet- 2nye)
 alAS SAte
Dal2
Page

f4)=_ C ep
P( 23 2 de
Cexp2 9;2)
D/2

exp( 282
d

(2TT /2

exp do
Cexp (
3- erp( (-9)* de
do

(21 h exp +
e*p2 -9 d
6

C..D

(2 23
N(, / : )
f9)_r exp 29 +
(2T) n-
 alas SMALe
Dato2319|22
Page

Impoper Prior for he ean of Noymal

f9) ep
2TT n

f , e) f(9|B) T (B).
(9i-e ) .
3 (27 *
Afler expamdina oe
have
f(9,9) (29i-267;+n
2h(am / 2 exp(
cexp Ti e (2_ (e -3
(2T)/2

Pos ten ux ditribuimjs,

f(13) f(9,6D

flel4) expl3; ).ezp(e -9J*) . (2m) n

(2TT) 12

exp ( (o-9))
2T

which is p:dfotN (, 3*/n) ..

The postericx dish
N(T
 T C

Note -

The mosF Commorn m prper Pmor are T (

()E C
Ta3) E

Bayes formula is define unnormalis ecl psten

p6steri
fTemiunal

density as d i y e c

T (e|x) f(x |8)T ( )

Impmper_ pri leads timpoper posterior

ip a coin then X tul
head
Bernouli PXIe] (1-e)=E
Had me
priu Pe) e (1-e)

This jS Mpro per pmoY

PLO) (1-e).
e1-e)
Then the posterio
dishmbuim is
PCBx) PO)P(e)
Jt(xe)PCe) dB
w:k.t
P (e x) P(z|6) Ple)
P (0x) G(-6).6(1-e)
C1-e)
)-k
P(8|*) e
 ,sSMALe
Date
pag

P (elx) 6

P (ex) de de oge - log

which i s pDper pos FerioY distibuion

Task a d yanC es f bein Loe
2)

Advantades aesIOM Anod usis

)1moidei 2Fuy o p n ciplecd wa
ata hin Jied ecisie
h OreHcal
ahDu Y+her
Onoluss rlnan becom e Avaiioble
pother Cahbe be woed er
LeAasicodiulios ho Baues thm

vides nterence thad areCmdlHen al c h cla

dre eta t ithou reliae omC ympo i aappYY 1
mas Smalsaupie iniete nce DD ceeds in a Se

mamer as i n had a Jarge a p l e au2i1an anal

D mae Chy tuncim
direcHy theu i 0a T
heeAhAaed poOm aMeters
hy pl9gi
ie
3)T pDVoe) epreiU edc etS, Such h

panaMelC has a prob O1S alln

Credible nd erva
 tiNAide m Dith _rmeom Ve
VOVY(Oy ma n

Nnmol - iny erse Oishon dS

2 t X MN(, 2D
n ma n ho CLniAGc d

nim Wm
o a e
Cshape)
ois
 alAsSMAte
Dats 2-19Jma
Paga

Common Problems d
Bayes ian Inference
There re 3 Common
StahsHs namely poblems in classial
pint esmahon, interva
and tesinq We have esHmat
esHmat_
alreacdy seen e eshmat*
aand tes Hn ot hypathesis So
thes wD
Hwo pmblems
e bequn m
and then tum o intervaJ
esHmates CHa
Intervals)ond es Hna o
sharpnuu hy po thes is
TeHnga sharp n hypo wN be illwerated ith
a
pupulan baae tet tu hx ntma
to Teftruy's. meandur
Because the diff eren ben Baejan nferenA
Bauue an decisien they atnly
neuance Lle don't make any
sharp cisHnchcns
behoeen the wo approaches SoOur trmt d
three prDblemg Os hese
ell a other problems ncude
elementt af both oss funh rom decis)m
theo
evidene dicipbve measures tram
TMe
UPE her
nference
A
tuuBayeian study ot problem Cnais
a
o tOO
shoge, h
planninaopre posheno stag
tollo oed by postekjitmbayesiam analusi ot dacta
ollecked. At th plannng Sage cne would ha w
the problem ochunsh OpRmuLm destgn and
and
opHmum SOmplesize Then e mteerated Beuye
S ns
RCT) tnf CR (T )). plays a central

le
 foint Estimades
tY areal vaued , Baye's eJ
im Himates adre
a t e The
postericr mean th psteror median The
pos heri mea the Bayes mate (resprd
oTth squared eroy Joss ond Pocten media
media
h e Bayes esHmate fer absolute oleviah I
Alonq wiHh th pus tener meon e repursthe
th
Pus Henier vanance cits Square ruOF f pa
erS Shd deviahen ot e, Tt One chuDse to or
UD) t h postei or med iaun wOuld be (Cnveinie
to
(Unveini
repct a of
other pesterior quahle t
couple
gie an dea ot the pos Herer vaiability t 6 .
One cOwld reper outleas the S aund 3a ptt
- enrquailes If the pas Ferior 13 wnmodal the
h Pos teror mode ansther choîte TE i .
Simila fD th MLE o Classica stah3 Hcs
Indeed the pno wniferm both ar idenhia.
Aomg
Along with tha pesenor mode one
Can reprt
Sutable biabe.stpusener densh (HP B).
Credi ble frittbht-interval a meas ure ot pesteno
vamabilit.
If the pasameter s a COm mon chote
repcHng are Hhe
pos tert mean vecte
vecter
the pod ericr
dispersin mair Aqain the
pestenc S imoclal Ome COn repo the pasten
mDde wh Surtable HP D A credible set

Note A p sHmate
et an wnkhown Paarmeter
a Single number
eJHmate of paramere
aiven
qiren pesterjo
poSeryo disph
ais ot
pasameter , three
thre
pess ible bayes jan esHmautes are
Dposherior Yean 2)
posterjor mecl ia
 .sSmAe
Date28 | 2 2

pestericy mode

m pt eS hn aki n
e Con Sider, fh Bayesiam model, let Xi, K2, - , n be a
binemial vamate le B e) 5 6 Beta ( B ) .
obtednthe poînt esimate
Spl Xe B (n,e).
L e)_ C
nC- e (-e)n-*

(1-e) (-e)

-6)
LOineceOr
I-e

W k. t Beta B)
I (E) CL-ejP-1
Ba,)

NDD the join pdf s

hCx B) L(x[e) T E)
h-2i
nCu -e )1

BCRR)
C1-e-2i+8 -
h lhl,e)=
, C ut-I

No he disth ot 1S,
margma
b (,o) de
m()
n-2+BH
n Cui ta e)
D BC,B)
 Por

n Ci
B(i+, tB -i
B()

The posherior dist"1Sgven by

by

m ).

hCxi 9
utd-1
(1-)
n+-2u-
B(a B)

B.NB)

|)= n+-4
(1-e)
B( +, ntB -Ii)

V Beta,(Tut, n+B -2i).

No
Ba4esiampt esH mate s,
pesten mean
E(B1x)
Meam:á

2i+
2i +n+4tB -ZG

pos Ferior
med icu o
i+- V3 Mediam or Ba
n+tB 23 - / 3
 SSMAe

Data
Pag2

pos e r c r mode o e mode B(B)

d-
Ii + +B 2
2
nt+B

Consider thetol lowi ug Bayesicum moded,

eq.2
ex ponentiu h mea Ond
nd Baues pt hwatr
e Sd ep0 d
Given
exp e).
Shd exp ()
ee

-eT
-Ti.e
ee
e S p a soumefer which
B exp (D
- e exp ().
T (G)_2 e

L( ) T (®)
h(x,)

e
e
-e(Tui+1)

marqincl pdf 15,

NovO he

m) hn.e) do
e
 T

n+)-
- e (Zi+1) (2i)n*T
m(L) e
nt

( Zu + ) h +
-e ( i ) n + l -
m() n + .
Zi+* nt

m(x): n+)
Ti+n*

The posterior d3t S

TT ( ) = b(,B)

m)
TB): (i+1)
y(2 i+1) +|
n+)

9TTex) = ( +1) 9+ -(U+1) +1)-T

GammaGamana( +1, nH)

NOW ByesiaM point eHmat8r
O PsFeno meoM

aanma (A
Meon B
+

pa eror

B-
Mode
 SSMAte
a: 2 g/20 22
Pag2
ca.3 (ona ider, a
Bayesicn model
and e xe PCe)
Gamma K ) Then find Baye
SoL Giren | NP(0) Buyes esimate:
estimate
f e ) =_ e

. -ne Ei
e

TTXi
And
G amma (d, A)
T(e).

fhe 0iut p.d f is

h,) LCa) T (6)
e Zu -oe

en + ) -

NDuD marqmal disE is,

m() h,0) de
-e (nt*) 2i+d=
Ti)
2utA

(nt) ut i t (nt4)
e
IATT
de
(ntd) 2 utA(n+<)
2i+A
e
ATT Cnti
 i tA
mlxe (ntx1Zaita

T A
dishibuhun
Therefere, the posterjw

hCxe)
TT (B)
m)-
-e(nt)
e
TT ( X)
Zi+
T ( n t )2 i t A

(ntd)

ohich p.df. d hammant , 2i+A)

The Bayesiam eHmae are

O pester mean e is,
GammaC
htd an: PA

psten r medeee o e is
Mednet á(aP).
HW eamples.

Consider a
poisstn mbdel tb ).x
and A A ha
p («). Find P().
iven P (AA). aues esHmater

f(x A) e n

L ( ) a) T f (Xi /^ )
- nA i

nd A ep
T (A)

Th ioiw
pdt S,
h
(,aa) L(,A) TT ()
e
TT

TT
The margina p.dF fs,

m(x) hx.A) dà

mx) nA+A)
TT 2
e -
d
- n4
 00
r a + , Zit
m(X) d e

m(x)
TTi
(D
The pesterir disth iS qiven by,
T (A = hlx )
m()
- nA.
-
T
2+
TT (N
) i+-
7
hich pdf Ct
Gamman2 Ai +1)
The pos tenar eshmate are
posteri mean ot is,
Li+
..I (®)
Mecu

pos pos teri w

mede of G
,
i+)- Mde t G4.)S,
ntd
B-

nta