bayes theorm
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Bayes' theorem
From Wikipedia, the free encyclopedia
Jump to: navigation, search This article is about the theorem. For its application in legal evidence diagnostics and E-
discovery , see Bayesian theory in E-discovery. For its application in marketing, see Bayesian
theory in marketing . For other uses, see Bayes theorem (disambiguation).
The simple statement of Bayes' theorem
Bayesian statistics
Theory
Bayesian probability
Probability interpretations
Bayes' theorem
Bayes' rule · Bayes factor
Bayesian inference
Bayesian netork
Prior · Posterior · !ikelihood
"on#ugate prior Posterior predictive
$yperparameter · $yperprior
Principle of indifference
Principle of ma%imum entropy
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&mpirical Bayes method
"romell's rule
Bernsteinvon (ises theorem
Bayesian information criterion
"redible interval
(a%imum a posteriori estimation
Techniques
Bayesian linear regression
Bayesian estimator
)ppro%imate Bayesian computation
UsesBayesian spam filtering
Binary classification
*aive Bayes classifier
• v
• t
• e
+n probability theory and statistics, Bayes' theorem alternatively Bayes' law or Bayes' rule- is
a theorem ith to distinct interpretations. +n the Bayesian interpretation, it e%presses ho a
sub#ective degree of belief should rationally change to account for evidence. +n the freuentistinterpretation, it relates inverse representations of the probabilities concerning to events. +n the
Bayesian interpretation, Bayes' theorem is fundamental to Bayesian statistics, and has
applications in fields including science, engineering, economics particularly microeconomics-,game theory, medicine and la. The application of Bayes' theorem to update beliefs is called
Bayesian inference.
Bayes' theorem is named for Thomas Bayes /ˈb eɪ z// 01200130-, ho first suggested using the
theorem to update beliefs. $is ork as significantly edited and updated by 4ichard Price before
it as posthumously read at the 4oyal 5ociety. The ideas gained limited e%posure until they ereindependently rediscovered and further developed by !aplace, ho first published the modern
formulation in his 0607 Th!orie analytiue des probabilit!s. 8ntil the second half of the 72th
century, the Bayesian interpretation as largely re#ected by the mathematics community as
unscientific9citation needed . $oever, it is no idely accepted. This may have been due to the
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development of computing, hich enabled the successful application of Bayesianism to many
comple% problems.90
Contents
9hide
• 0 +ntroductory e%ample
• 7 5tatement and interpretation
o 7.0 Bayesian interpretation
o 7.7 Fre;uentist interpretation
• < Forms
o
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o ?.7 >rug testing
• 3 $istory
• 1 *otes
o 1.0 Further reading
• 6 &%ternal links
[edit] Introductory example
5uppose someone told you they had a nice conversation ith someone on the train. *ot knoing
anything else about this conversation, the probability that they ere speaking to a oman is?2@. *o suppose they also told you that this person had long hair. +t is no more likely that
they ere speaking to a oman, since most longAhaired people are omen. Bayes' theorem can be used to calculate the probability that the person is a oman.
To see ho this is done, let
represent the event that the conversation as held ith a oman, and
denote the event that the conversation as held ith a longAhaired person.
+t can be assumed that omen constitute half the population for this e%ample. 5o, not knoing
anything else, the probability that occurs is
.
5uppose it is also knon that 1?@ of omen have long hair, hich e denote as
read: the probability of event given event is 2.1?-.
!ikeise, suppose it is knon that
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ur goal is to calculate the probability that the conversation as held ith a oman, given the
fact that the person had long hair, or, in our notation, . 8sing the formula for Bayes'theorem, e have:
here e have used the la of total probability. The numeric anser can be obtained bysubstituting the above values into this formula. This yields
,
i.e., the probability that the conversation as held ith a oman, given that the person had long
hair, is about 10@.
[edit] Statement and interpretation
(athematically, Bayes' theorem gives the relationship beteen the probabilities of and ,
and , and the conditional probabilities of given and given , and
. +n its most common form, it is:
The meaning of this statement depends on the interpretation of probability ascribed to the terms:
[edit] Bayesian interpretation
"ain article# Bayesian probability
+n the Bayesian or epistemological- interpretation, probability measures a degree of belief .Bayes' theorem then links the degree of belief in a proposition before and after accounting for
evidence. For e%ample, suppose somebody proposes that a biased coin is tice as likely to land
heads than tails. >egree of belief in this might initially be ?2@. The coin is then flipped anumber of times to collect evidence. Belief may rise to 12@ if the evidence supports the
proposition.
For proposition and evidence ,
• , the prior , is the initial degree of belief in .
• , the posterior , is the degree of belief having accounted for .
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• represents the support provides for .
For more on the application of Bayes' theorem under the Bayesian interpretation of probability,see Bayesian inference.
[edit] Frequentist interpretation
+llustration of fre;uentist interpretation ith tree diagrams. Bayes' theorem connects conditional probabilities to their inverses.
+n the fre;uentist interpretation, probability measures a proportion of outcomes. Bayes' theorem
under this interpretation is most easily visualiCed using tree diagrams, as shon to the right. The
to diagrams partition the same population in different ays. The upper diagram partitions the population into to groups, ith and ithout property , and then partitions each group into
to further groups, ith and ithout property . The loer diagram proceeds in reverse, first
partitioning according to and then according to . For e%ample, might be having a risk
factor for a medical condition, and might be having the condition.-
+f e pick every member of a population ith property , and ask Dhat proportion of these
have property ED, this gives the probability . "onversely, if e pick every member of
the same population ith property and ask Dhat proportion of these have property ED this
gives the probability . is the overall proportion ith , and the overall proportion ith . Bayes' theorem links these probabilities, hich are in general different.
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[edit] Forms
[edit] For eents
[edit] Simple !orm
For events and , provided that .
+n a Bayesian inference step, the probability of evidence is constant for all models . The
posterior may then be e%pressed as proportional to the numerator:
[edit] "xtended !orm
ften, for some partition of the event space, the event space is given or conceptualiCed in
terms of and . +t is then useful to eliminate using the la of total
probability:
+n the special case of a binary partition,
[edit] Three or more eents
&%tensions to Bayes' theorem may be found for three or more events. For e%ample, for threeevents, to possible tree diagrams branch in the order B") and )B". By repeatedly applyingthe definition of conditional probability:
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)s previously, the la of total probability may be used to substitute for unknon marginal
probabilities.
[edit] For random aria#les
>iagram illustrating the meaning of Bayes' theorem as applied to an event space generated bycontinuous random variables and . *ote that there e%ists an instance of Bayes' theorem for
each point in the domain. +n practise, these instances might be parametrised by riting the
specified probability densities as a function of and .
"onsider a sample space generated by to random variables and . +n principle, Bayes'
theorem applies to the events and . $oever, terms become 2
at points here either variable has finite probability density. To remain useful, Bayes' theorem
may be formulated in terms of the relevant densities see >erivation-.
[edit] Simple !orm
+f is continuous and is discrete,
+f is discrete and is continuous,
+f both and are continuous,
[edit] "xtended !orm
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>iagram illustrating ho an event space generated by continuous random variables and G is
often conceptualiCed.
) continuous event space is often conceptualiCed in terms of the numerator terms. +t is then
useful to eliminate the denominator using the la of total probability. For , this becomes
an integral:
[edit] Bayes' rule
"ain article# Bayes$ rule
8nder the Bayesian interpretation of probability, Bayes' rule may be thought of as Bayes'
theorem in odds form.
here
.
5o the rule says that the posterior odds are the prior odds times the Bayes factor .
[edit] $eriation
[edit] For %eneral eents
Bayes' theorem may be derived from the definition of conditional probability:
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[edit] $ru% testin%
Tree diagram illustrating drug testing e%ample. 8, 8 bar, DID and DD are the events representing
user, nonAuser, positive result and negative result. Percentages in parentheses are calculated.
5uppose a drug test is HH@ sensitive and HH@ specific. That is, the test ill produce HH@ true
positive results for drug users and HH@ true negative results for nonAdrug users. 5uppose that2.?@ of people are users of the drug. +f a randomly selected individual tests positive, hat is the
probability he or she is a userE
>espite the apparent accuracy of the test, if an individual tests positive, it is more likely that they
do not use the drug than that they do.
This surprising result arises because the number of nonAusers is very large compared to thenumber of users, such that the number of false positives 2.HH?@- outeighs the number of true
positives 2.=H?@-. To use concrete numbers, if 0222 individuals are tested, there are e%pected to
be HH? nonAusers and ? users. From the HH? nonAusers, false positives are
e%pected. From the ? users, true positives are e%pected. ut of 0? positive
results, only ?, about
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[edit] &istory
Bayes' theorem as named after the 4everend Thomas Bayes 012730-, ho studied ho to
compute a distribution for the probability parameter of a binomial distribution in modernterminology-. $is friend 4ichard Price edited and presented this ork in 013
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• BayesO rule: ) Tutorial +ntroduction by J 5tone.
[edit] "xternal lin+s
• &arliest Qnon 8ses of 5ome of the Words of (athematics B-. "ontains origins of
DBayesianD, DBayes' TheoremD, DBayes &stimateL4iskL5olutionD, D&mpirical BayesD, andDBayes FactorD.
• Bayesian 5tatistics summary from 5cholarpedia.
• Weisstein, &ric W., DBayes' TheoremD from (athWorld.
• Bayes' theorem at Planet(ath
• ) tutorial on probability and BayesO theorem devised for %ford 8niversity psychology
students
• ) graphical e%planation of the Bayes theorem.
4etrieved from Dhttp:LLen.ikipedia.orgLLinde%.phpEtitleRBayes
@71StheoremoldidR?003?10
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