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Quantitative Finance · शब्दावली

Prior, posterior, conjugate prior क्या है?

अन्य नाम: prior distribution · posterior distribution · conjugate prior

Definition 14.1 Quantitative Methods · अध्याय 14 — Bayesian Methods

In a Bayesian model the parameter θ\theta is random. Its prior distribution p(θ)p(\theta) states what is believed before the data; the posterior distribution p(θ∣x)∝p(x∣θ) p(θ)p(\theta \mid x) \propto p(x \mid \theta)\, p(\theta) is the Bayesian update of it by the likelihood of the data xx (Bayes, 1763). A family of priors is a conjugate prior for a likelihood if the posterior stays in the family.

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