Bayesian statistics
provide a conceptually simple process for updating uncertainty in
the light of evidence.2
- Initial beliefs about
some unknown quantity are represented by a prior distribution.
- Information in the
data is expressed by the likelihood function.
- The prior distribution
and the likelihood function are then combined to obtain the posterior
distribution for the quantity of interest. The posterior distribution
expresses our revised uncertainty in light of the data, in other
words an organized appraisal in the consideration of previous
experience.
Posterior = Prior X
Likelihood
The posterior distribution,
a reflection of a parameter's uncertainty, is influenced by the
strength of the prior knowledge. Irrespective of the current data,
the posterior resembles a strong prior distribution. Whereas,
the posterior resembles the current data more, when the prior
is relatively uninformative.
Bayesian estimation
1. Prior distribution
of the parameter estimates and the actual data are used to estimate
the posterior distribution of parameters.
Features
- Could be applied
to data sets with sparse data per individual.
- Effective use of
prior knowledge.
Challenges
- Concensual prior
estimates of parameters and variability needed.
- Fits may depend on
priors (depending on uncertainty in prior)