Bayesian inference is a method of statistical inference where **Bayes' theorem** is
used to update the probability for a hypothesis as more evidence or information
becomes available. It's a way to incorporate prior knowledge, through a prior
probability distribution, to calculate a posterior probability distribution. This
posterior distribution reflects our updated belief about the hypothesis after
considering the new evidence¹.
Here's a basic overview of how Bayesian inference works:
1. **Prior Probability** ($P(H)$): This is the initial degree of belief in a
hypothesis, before considering the new evidence.
2. **Likelihood** ($P(E|H)$): This is the probability of observing the evidence if
the hypothesis is true.
3. **Evidence** ($P(E)$): The probability of the evidence under all possible
hypotheses.
4. **Posterior Probability** ($P(H|E)$): The updated probability of the hypothesis
given the new evidence.
The relationship between these elements is described by **Bayes' theorem**:
$$ P(H|E) = \frac{P(E|H) \cdot P(H)}{P(E)} $$
In Bayesian inference, you start with a prior distribution that reflects what is
known about the parameters before any data is observed. After observing the data,
you use Bayes' theorem to update this prior into a posterior distribution. This
posterior distribution incorporates both the prior information and the new data².
Bayesian inference is widely used across various fields such as science,
engineering, philosophy, medicine, and law due to its flexibility in incorporating
prior knowledge and its applicability to complex statistical models¹.
Source: Conversation with Copilot, 31/5/2024
(1) Bayesian inference - Wikipedia.
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(2) Bayesian inference | Introduction with explained examples - Statlect.
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(3) Bayesian Inference Definition | DeepAI. [Link]
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(4) Bayesian Inference | Bayesian Statistics for Beginners: a step-by-step ....
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