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Quantitative Finance · Begrippenlijst

Wat is Posterior predictive distribution, credible interval?

Ook bekend als: posterior predictive distribution · credible interval

Definition 14.2 Quantitative Methods · Hoofdstuk 14 — Bayesian Methods

The posterior predictive distribution of new data x~\tilde x is p(x~∣x)=∫p(x~∣θ) p(θ∣x) dθp(\tilde x \mid x) = \int p(\tilde x \mid \theta)\,p(\theta \mid x)\,d\theta. A (1−α)(1 - \alpha) credible interval is an interval to which the posterior gives probability 1−α1 - \alpha, usually between its α/2\alpha/2 and 1−α/21 - \alpha/2 quantiles.

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