statistics

Bayesian inference

Bayesian inference is a statistical method that updates the probability of a hypothesis as more evidence becomes available.
38 related articles · 4 formulas · 6 who worked here

Description

Bayesian inference is a mathematical method for estimating the probability of a hypothesis based on new observations. It requires three components: a prior probability (initial degree of belief in the hypothesis), a likelihood function (how probable the data are given the hypothesis is true), and a normalization constant (the total probability of the data under all possible hypotheses). The result is the posterior probability—what you believe after considering the evidence. Unlike classical statistics, the Bayesian approach directly answers the question "What is the probability that the hypothesis is true given these data?" rather than "What is the probability of obtaining such data if the hypothesis is true?"

History

Bayes' theorem was first formulated in the posthumously published work of Thomas Bayes (1763), and later independently rediscovered and disseminated by Pierre-Simon Laplace in 1774. Laplace applied it to estimating the mass of Saturn and to demographic research. In the 20th century, interest revived thanks to the work of Harold Jeffreys, who introduced non-informative prior distributions, and Leonard Savage, who developed the axiomatics of subjective probability. With the advent of powerful computational methods such as the Metropolis-Hastings algorithm (1970) and Gibbs sampling, Bayesian inference became applicable to complex models in data science.

How it works

Inference relies on Bayes' theorem: P(H|D) = P(D|H) * P(H) / P(D), where H is a hypothesis, D is data. P(H) (prior) reflects the initial degree of belief, P(D|H) (likelihood) is the probability of obtaining data D if H is true, P(D) is the marginal probability of the data, serving as normalization. In practice, direct computation of the denominator, an integral over all hypotheses, is often impossible, and one resorts to Markov chain Monte Carlo (MCMC) methods to approximate the posterior distribution. Modern packages such as Stan and PyMC automate these calculations.

In practice

Spam filters learn from your markings, medical tests refine diagnoses based on new symptoms.

Fun fact

British codebreaker Alan Turing used Bayesian methods to crack the Enigma code during World War II, assigning probabilities to various machine settings based on intercepted messages.

Concept graph →

Formulas

$$B = \prod_{k=1}^N \frac{P(D_k|H_1)}{P(D_k|H_0)}$$
Bayes factor accumulates evidence for hypotheses.
What is in the formula
BvariableBayes factor — bayes factor
D_kvariablek-th data point — data
H_1variablealternative hypothesis — hypothesis
H_0variablenull hypothesis — hypothesis
Nvariablenumber of data points — sample size
∏operatormultiplication of terms for k=1 to N — product operator
b_n=\prod_{k=1}^n\frac{p(d_k|h_1)}{p(d_k|h_0)} · 2505.00950v2
δ\lnz=\lnz_{model1}-\lnz_{model2} · 2607.01699v1
b^i_j=\frac{p(d|h_i)}{p(d|h_j)} · 2607.04663v1
k=\frac{p(x\mid\mathcal{m}_1)}{p(x\mid\mathcal{m}_0)} · 2607.20260v1
$$Z = \int \mathcal{L}(\Theta) \pi(\Theta) d\Theta$$
Integral of likelihood times prior over parameter space.
What is in the formula
ZvariableBayesian evidence (marginal likelihood) — bayesian evidence
ΘvariableParameter vector — parameter vector
L(Θ)variableLikelihood function — likelihood function
π(Θ)variablePrior probability density — prior probability density
∫operatorIntegration over parameter space — integral operator
dΘoperatorInfinitesimal volume element — volume element
z=\int_{ω_\theta}\mathcal{l}(\theta)π(\theta)d\theta · 2605.09521v1
$$BC(p,q) = \int \sqrt{p(x)q(x)} \, dx$$
Measures the overlap between two probability distributions.
What is in the formula
p(x)variableProbability density of distribution p — probability density
q(x)variableProbability density of distribution q — probability density
xvariableIntegration variable (sample space)
∫operatorIntegration over the sample space — integral operator
bc(p,q)=\int\sqrt{p(m)q(m)}dm · 2607.01121
$$P(A|B) = \frac{P(B|A)P(A)}{P(B)}$$
Relates conditional and marginal probabilities.
What is in the formula
P(A|B)variableConditional probability of A given B — conditional probability
P(B|A)variableConditional probability of B given A — conditional probability
P(A)variableMarginal probability of A — probability
P(B)variableMarginal probability of B — probability
\frac{p(hj|comp)}{p(hj)}=\frac{p(comp|hj)}{p(comp)} · 2607.10177
p(θ|\mathcal{d})\propto\prod_ip(\mathcal{d}_i|θ)p(θ) · 2607.13930
p(h_0|\{x\},cat)\propto\mathcal{l}(\{x\}|h_0,cat)*π(h_0) · 2607.17284v1

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