Bayes' theorem From Wikipedia, the free encyclopedia This article is about the theorem.

For its application in legal evidence diagnos tics and E-discovery, see Bayesian theory in E-discovery. For its application in marketing, see Bayesian theory in marketing. For other uses, see Bayes theorem (disambiguation). The simple statement of Bayes' theorem Bayesian statistics Theory Bayesian probability Probability interpretations Bayes' theorem Bayes' rule Bayes factor Bayesian inference Bayesian network Prior Posterior Likelihood Conjugate prior Posterior predictive Hyperparameter Hyperprior Principle of indifference Principle of maximum entropy Empirical Bayes method Cromwell's rule Bernstein von Mises theorem Bayesian information criterion Credible interval Maximum a posteriori estimation Techniques Bayesian linear regression Bayesian estimator Approximate Bayesian computation Uses Bayesian spam filtering Binary classification Naive Bayes classifier v t e In probability theory and statistics, Bayes' theorem (alternatively Bayes' law) is a theorem with two distinct interpretations. In the Bayesian interpretation, it expresses how a subjective degree of belief should rationally change to accou nt for evidence. In the frequentist interpretation, it relates inverse represent ations of the probabilities concerning two events. In the Bayesian interpretatio n, Bayes' theorem is fundamental to Bayesian statistics, and has applications in fields including science, engineering, economics (particularly microeconomics), game theory, medicine and law. The application of Bayes' theorem to update beli efs is called Bayesian inference. Bayes' theorem is named for Thomas Bayes (/ bez/; 1701 1761), who first suggested using he theorem to update beliefs. His work was significantly edited and updated by R ichard Price before it was posthumously read at the Royal Society. The ideas gai ned limited exposure until they were independently rediscovered and further deve loped by Laplace, who first published the modern formulation in his 1812 Thorie an alytique des probabilits. Until the second half of the 20th century, the Bayesian interpretation was largely rejected by the mathematics community as unscientific [citation needed]. However, it is now widely accepted. This may have been due to the development of computing, which enabled the successful application of Bayes ianism to many complex problems.[1] Contents [hide] 1 Introductory example

2 Statement and interpretation 2.1 Bayesian interpretation 2.2 Frequentist interpretation 3 Forms 3.1 Events 3.1.1 Simple form 3.1.2 Extended form 3.2 Random variables 3.2.1 Simple form 3.2.2 Extended form 3.3 Bayes' rule 4 Derivation 4.1 For events 4.2 For random variables 5 Examples 5.1 Frequentist example 5.2 Drug testing 6 History 7 Notes 8 Further reading 9 External links [edit]Introductory example Suppose someone told you they had a nice conversation with someone on the train. Not knowing anything else about this conversation, the probability that they we re speaking to a woman is 50%. Now suppose they also told you that this person h ad long hair. It is now more likely they were speaking to a woman, since most lo ng-haired people are women. Bayes' theorem can be used to calculate the probabil ity that the person is a woman. To see how this is done, let represent the event that the conversation was held with a woman, and denote the event that the conversation was held with a long-haired person. It can be assumed that women constitute half the population for this example. So , not knowing anything else, the probability that occurs is Suppose it is also known that 75% of women have long hair, which we denote as (read: the probability of event given event is 0.75). Likewise, suppose it is known that 30% of men have long hair, or , where is the complementary event of , i.e., the event that the conversation was held with a man (assuming that every human is either a man or a woman). Our goal is to calculate the probability that the conversation was held with a w oman, given the fact that the person had long hair, or, in our notation, . Using the formula for Bayes' theorem, we have: where we have used the law of total probability. The numeric answer can be obtai ned by substituting the above values into this formula. This yields i.e., the probability that the conversation was held with a woman, given that th e person had long hair, is about 71%. [edit]Statement and interpretation Mathematically, Bayes' theorem gives the relationship between the probabilities of and , and , and the conditional probabilities of given and given , and . In its most common form, it is: The meaning of this statement depends on the interpretation of probability ascri bed to the terms: [edit]Bayesian interpretation

Main article: Bayesian probability In the Bayesian (or epistemological) interpretation, probability measures a degr ee of belief. Bayes' theorem then links the degree of belief in a proposition be fore and after accounting for evidence. For example, suppose somebody proposes t hat a biased coin is twice as likely to land heads than tails. Degree of belief in this might initially be 50%. The coin is then flipped a number of times to co llect evidence. Belief may rise to 70% if the evidence supports the proposition. For proposition and evidence , , the prior, is the initial degree of belief in . , the posterior, is the degree of belief having accounted for . represents the support provides for . For more on the application of Bayes' theorem under the Bayesian interpretation of probability, see Bayesian inference. [edit]Frequentist interpretation Illustration of frequentist interpretation with tree diagrams. Bayes' theorem co nnects conditional probabilities to their inverses. In the frequentist interpretation, probability measures a proportion of outcomes . For example, suppose an experiment is performed many times. is the proportion of outcomes with property , and that with property . is the proportion of out comes with property out of outcomes with property , and the proportion of thos e with out of those with . The role of Bayes' theorem is best visualized with tree diagrams, as shown to th e right. The two diagrams partition the same outcomes by and in opposite order s, to obtain the inverse probabilities. Bayes' theorem serves as the link betwee n these different partitionings. [edit]Forms [edit]Events [edit]Simple form For events and , provided that In a Bayesian inference step, the probability of evidence is constant for all m odels . The posterior may then be expressed as proportional to the numerator: [edit]Extended form Often, for some partition of the event space, the event space is given or conce ptualized in terms of and . It is then useful to eliminate using the law of to tal probability: In the special case of a binary partition, [edit]Random variables Diagram illustrating the meaning of Bayes' theorem as applied to an event space generated by continuous random variables and . Note that there exists an instan ce of Bayes' theorem for each point in the domain. In practise, these instances might be parametrised by writing the specified probability densities as a functi on of and . Consider a sample space generated by two random variables and . In principle, Bayes' theorem applies to the events and . However, terms become 0 at points wh ere either variable has finite probability density. To remain useful, Bayes' the orem may be formulated in terms of the relevant densities (see Derivation). [edit]Simple form If is continuous and is discrete, If is discrete and is continuous,

If both and are continuous, [edit]Extended form Diagram illustrating how an event space generated by continuous random variables X and Y is often conceptualized. A continuous event space is often conceptualized in terms of the numerator terms . It is then useful to eliminate the denominator using the law of total probabil ity. For , this becomes an integral: [edit]Bayes' rule Main article: Bayes' rule Under the Bayesian interpretation of probability, Bayes' rule may be thought of as Bayes' theorem in odds form. where So the rule says that the posterior odds are the prior odds times the Bayes fact or. [edit]Derivation [edit]For events Bayes' theorem may be derived from the definition of conditional probability:

[edit]For random variables For two continuous random variables and , Bayes' theorem may be analogously der ived from the definition of conditional density: