All Questions
Tagged with prior maximum-likelihood
20
questions
8
votes
1
answer
207
views
How to match my prior beliefs to beta distribution?
I have some data that I believe comes from the binomial distribution. I also have some old data from a past-experiment that I would like to base my prior beliefs on. The old data observations are: $$6,...
2
votes
1
answer
66
views
Centering Priors on MLEs vs. Using MLEs as Initial Conditions for MCMC [duplicate]
Here:
Centering prior distributions on MLE/OLS estimates
I ask about centering priors on MLEs in the context of a logistic regression (in my case with only categorical predictors), which I've seen a ...
1
vote
1
answer
525
views
MLE ≠ MAP under Gaussian Prior?
I saw a post on why MLE and MAP yield the same result when under uniform prior. But, I was wondering about the case when they are under Gaussian Prior. I suppose they are different in this case but I ...
1
vote
0
answers
53
views
Using a different (but related) hypothesis for the prior in MAP
Say we have a general set of data $\mathcal{D} = \{\mathbf{x}_i, \mathbf{y}_i \}_{i \in N}$ of covariates $\mathbf{x}$ and observations $\mathbf{y}$. Our problem is in fitting a known model $\mathbf{y}...
1
vote
1
answer
200
views
Is the prior in Bayes formula a probability or it can also represent a probability distribution?
Given the Bayes formula:
$$ p(\theta|D) = \dfrac{p(D|\theta)p(\theta)}{p(D)} $$
If there is a distribution (let's say $g$) over the parameter $\theta$, how should one rewrite the Bayes formula?
$D$ is ...
6
votes
1
answer
823
views
Can the posterior mean always be expressed as a weighted sum of the maximum likelihood estimate and the prior mean?
See this question.
Is this always true? Can the posterior mean always be expressed as a weighted sum of the maximum likelihood estimate and the prior mean (after choosing some appropriate prior)?
4
votes
2
answers
519
views
How does Prior Variance Affect Discrepancy between MLE and Posterior Expectation
Suppose that $\theta\in R$ is a parameter of interest, $p(\theta)$ is our prior belief regarding $\theta$, and $\hat \theta$ is the MLE for theta derived from the data $x$. It is my understanding that ...
3
votes
2
answers
223
views
Can an improper prior distribution be informative?
I have just worked through an example where, with an improper prior, the bayesian estimator equals the maximum likelihood estimator, leading me to believe that improper priors are uninformative. But ...
2
votes
0
answers
748
views
Posterior distribution of Bernoulli distribution
The pdf of X | $\theta$ is given by $\theta^x (1- \theta)^{1-x}$
and its prior distribution is given by $p(\theta) \frac {1} {B(\alpha, \beta)} \theta^{\alpha - 1} (1 - \theta)^{\beta - 1}$
where $...
3
votes
2
answers
786
views
Are "improper uniform priors" in Bayesian analysis equivalent to maximum likelihood estimations?
The improper uniform distribution for parameter $\theta$ is :
$p(\theta)=1,\ for -\infty<\theta<\infty$.
It is called "improper" since it does not integrate to 1. Because Bayesian theorem is ...
2
votes
1
answer
336
views
How does L2 penalize large weights
The L2 regularization term is useful because it penalizes large weights over smaller weights which is good to prevent overfitting. I'm having a hard time understanding how exactly it does this.
This ...
9
votes
1
answer
6k
views
MAP estimation as regularisation of MLE
Going through the Wikipedia article on Maximum a posteriori estimation, it got confusing after reading this:
It is closely related to the method of maximum likelihood (ML) estimation, but employs ...
1
vote
2
answers
310
views
Tossing coin and classical ML estimate
I'm reading Bishop's Pattern recognition and came across with the next on the p.23:
Suppose, for instance, that a fair-looking coin is tossed three times
and lands heads each time. A classical ...
4
votes
2
answers
1k
views
conjugate prior: is ever the best choice?
I'm reading about the conjugate prior of classic probability distributions (e.g. beta distribution for binomial distribution); it's explained just as "algebric trick" to have easier calculation in ...
12
votes
2
answers
4k
views
When does the maximum likelihood correspond to a reference prior?
I have been reading James V. Stone's very nice books "Bayes' Rule" and "Information Theory". I want to know which sections of the books I did not understand and thus need to re-...