[Actuarial] Bernoulli Parameter with Beta Prior

A shortcut to get the result from integration of

? ? (q^c) * ((1-q)^d)

over the domain of q from 0 to 1 is simply computing the value of

? ? c! / ((d+1)*(d+2)*...*(d+c+1)),

where c and d are constants in both formulas.

This is useful when a Bernoulli parameter q has a Beta prior distribution, and we need to find its posterior given observed Bernoulli trials. The posterior distribution of q is in the following form:

? ? I * (q^c) * ((1-q)^d),

where I is the value computed from the above integration.

An even simpler but less intuitive way to get the posterior distribution is to recognize that the posterior is also a Beta distribution. Assume the prior Beta distribution has parameters a and b, that is to say

? ? q ~ Beta(a, b),

and we observe n Bernoulli trials with x successes. The parameters of the posterior distribution, denoted by a_new and b_new can be obtained from the following formulas:

? ? a_new = a + x

? ? b_new = b + n

Therefore, q has a posterior distribution of

? ? Beta(a_new, b_new),

and its mean is given by

? a_new / (a_new + b_new).

最后編輯于
?著作權(quán)歸作者所有,轉(zhuǎn)載或內(nèi)容合作請聯(lián)系作者
【社區(qū)內(nèi)容提示】社區(qū)部分內(nèi)容疑似由AI輔助生成,瀏覽時請結(jié)合常識與多方信息審慎甄別。
平臺聲明:文章內(nèi)容(如有圖片或視頻亦包括在內(nèi))由作者上傳并發(fā)布,文章內(nèi)容僅代表作者本人觀點,簡書系信息發(fā)布平臺,僅提供信息存儲服務(wù)。

相關(guān)閱讀更多精彩內(nèi)容

  • rljs by sennchi Timeline of History Part One The Cognitiv...
    sennchi閱讀 7,854評論 0 10
  • 沒有輕輕松松就得來的成功。即便來了,也會來得容易,去得快。這剛好是吳京的寫照吧。 要說在文化娛樂傳媒領(lǐng)...
    十年一井閱讀 314評論 0 0
  • 276期,感謝1組成員 【日精進打卡第75天】 【知~學(xué)習(xí)】 《六項精進》讀0遍 共77遍 《六項精進》背0遍 共...
    周晨i閱讀 283評論 0 0
  • 前段時間由于工作調(diào)動,我有幸參加了我工作平臺的基礎(chǔ)操作。說實話,在一份熟悉的工作領(lǐng)域里待久,很容易把最初的追求都消...
    寂晚庭閱讀 842評論 0 0
  • 前廳: 1、員工生日會在2月16日舉行 2、月度員工大會在2月12日召開,表彰對象為唐昌增,獎勵是老頭兒之星 3、...
    羊羊很多閱讀 281評論 0 0

友情鏈接更多精彩內(nèi)容