Arnaud Doucet
Email: arnaud@cs.ubc.ca
1
Slides available on the Web before lectures:
www.cs.ubc.ca/~arnaud/stat535.html
2
2.1 Outline
Maximum Likelihood.
Bayesian Statistics.
l ( | x) = f ( x| )
f ( x| ) = h (x) g ( T (x)| ) .
xi
Let X = (X1 , ..., Xn ) i.i.d. from P () of distribution f ( xi | ) = e xi ! .
Then
n
1 n
f ( x1 , ..., xn | ) = f ( xi | ) = n en i=1 xi
i=1 xi !
i=1 g( T (x)|)
h(x)
n
The statistics T (x) = i=1 xi is sucient.
l1 ( | x) = c (x) l2 ( | x) .
A simpler (?) way to think of it: You can have two dierent probabilistic
models for the data. However, if l1 ( | x) l2 ( | x) then this should lead
to the same inference.
= arg sup l ( | x)
Proof:
n
1
= max {Xi }
l ( | x) = f ( xi | ) = 1[max{x },) ()
i=1
n i
(x) = () f ( x| ) d
f ( x| ) ()
( | x) = .
f ( x| ) () d
= ( | T (x)) .
f1 ( x| ) () c (x) f2 ( x| ) ()
( | x) = =
f1 ( x| ) () d c (x) f2 ( x| ) () d
f2 ( x| ) ()
= .
f2 ( x| ) () d
P ( B| A) P (A) P ( B| A) P (A)
P ( A| B) = =
P ( B| A) P (A) + P B| A P A P (B)
P ( B| A) P (A) 107
=
P ( B| A) P (A) + P B| A P A 107 + 106 (1 107 )
0.1.
Real-life Example: Sally Clark was condemned in UK (The RSS pointed out
the mistake). Her convinction was eventually quashed (on other grounds).
Coming back from a trip, you feel sick and your GP thinks
you might have contracted a rare disease (0.01% of the
population has the disease).
Let A be the event that the patient has the disease and
B be the event that the test returns a positive result
1 0.0001
P ( A| B) = 0.002
1 0.0001 + 0.05 0.9999
Such a test would be a complete waste of money for you or the National
Health System.
Proof:
2
var () = E E ()2
2
= E E X (E (E ( | X)))2
2
= E E X E (E ( | X))
2
2 2
+E (E ( | X)) (E (E ( | X)))