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Concept
Bayesian probability
Résumé
Bayesian probability (ˈbeɪziən or ˈbeɪʒən ) is an interpretation of the concept of probability, in which, instead of frequency or propensity of some phenomenon, probability is interpreted as reasonable expectation representing a state of knowledge or as quantification of a personal belief.
The Bayesian interpretation of probability can be seen as an extension of propositional logic that enables reasoning with hypotheses; that is, with propositions whose truth or falsity is unknown. In the Bayesian view, a probability is assigned to a hypothesis, whereas under frequentist inference, a hypothesis is typically tested without being assigned a probability.
Bayesian probability belongs to the category of evidential probabilities; to evaluate the probability of a hypothesis, the Bayesian probabilist specifies a prior probability. This, in turn, is then updated to a posterior probability in the light of new, relevant data (evidence). The Bayesian interpretation provides a standard set of procedures and formulae to perform this calculation.
The term Bayesian derives from the 18th-century mathematician and theologian Thomas Bayes, who provided the first mathematical treatment of a non-trivial problem of statistical data analysis using what is now known as Bayesian inference. Mathematician Pierre-Simon Laplace pioneered and popularized what is now called Bayesian probability.
Bayesian methods are characterized by concepts and procedures as follows:
The use of random variables, or more generally unknown quantities, to model all sources of uncertainty in statistical models including uncertainty resulting from lack of information (see also aleatoric and epistemic uncertainty).
The need to determine the prior probability distribution taking into account the available (prior) information.
The sequential use of Bayes' theorem: as more data become available, calculate the posterior distribution using Bayes' theorem; subsequently, the posterior distribution becomes the next prior.
Source officielle
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