Thursday, March 24, 2011

Bayes' Theorem

I recently read this beautiful explanation of Bayes’ theorem.  I’d always thought it was a statement of philosophy, but it isn’t: it comes from plain old probabilities.

The formula for the conditional probability of A being true given that B is true is

P(A | B) = P(A & B) / P(B)

That is, the proportion of things that are A that are in B is equal to the fraction of the proportion of things that are A and B over the proportion of things that are B (I like to think of these things in terms of Venn diagrams).

We can rearrange the above to get

P(A & B) = P(A | B).P(B)

Now for Bayes’ theorem: let’s write H for our hypothesis and E for our evidence.  We want to know how seeing the evidence E affects the probability of our hypothesis H being true.  From the first rule above we have

P(H | E) = P(H & E) / P(E)

Now we can apply the second rule to P(H & E) to get

P(H | E) = P(E | H).P(H) / P(E)

Et voila!  No magic at all.

As an aside, the raven paradox has convinced me that Bayesianism is philosophically superior to frequentism.

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