Байесовская вероятность: Интерпретация и применение

Interpretation of probabilityBayesian probability ('/b//eɪ//z//i//ən/ BAYzeeən or '/b//eɪ//ʒ//ən/ BAYzhən) 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. For subjectivists, probability corresponds to a personal belief. In that special case, the prior and posterior distributions were beta distributions and the data came from Bernoulli trials. It was Pierre Simon Laplace (1749–1827) who introduced a general version of the theorem and used it to approach problems in celestial mechanics, medical statistics, reliability, and jurisprudence. Early Bayesian inference, which used uniform priors following Laplace's principle of insufficient reason, was called "inverse probability" (because it infers backwards from observations to parameters, or from effects to causes). After the 1920s, "inverse probability" was largely supplanted by a collection of methods that came to be called frequentist statistics. In the objectivist stream, the statistical analysis depends on only the model assumed and the data analysed. No subjective decisions need to be involved. In contrast, "subjectivist" statisticians deny the possibility of fully objective analysis for the general case. In the 1980s, there was a dramatic growth in research and applications of Bayesian methods, mostly attributed to the discovery of Markov chain Monte Carlo methods and the consequent removal of many of the computational problems, and to an increasing interest in nonstandard, complex applications. While frequentist statistics remains strong (as demonstrated by the fact that much of undergraduate teaching is based on it ), Bayesian methods are widely accepted and used, e. g., in the field of machine learning.

The use of Bayesian probabilities as the basis of Bayesian inference has been supported by several arguments, such as Cox axioms, the Dutch book argument, arguments based on decision theory and de Finetti's theorem.

Richard T. Cox showed that Bayesian updating follows from several axioms, including two functional equations and a hypothesis of differentiability. The assumption of differentiability or even continuity is controversial; Halpern found a counterexample based on his observation that the Boolean algebra of statements may be finite. Other axiomatizations have been suggested by various authors with the purpose of making the theory more rigorous.

Bruno de Finetti proposed the Dutch book argument based on betting. A clever bookmaker makes a Dutch book by setting the odds and bets to ensure that the bookmaker profits—at the expense of the gamblers—regardless of the outcome of the event (a horse race, for example) on which the gamblers bet. It is associated with probabilities implied by the odds not being coherent. However, Ian Hacking noted that traditional Dutch book arguments did not specify Bayesian updating: they left open the possibility that non Bayesian updating rules could avoid Dutch books. For example, Hacking writes "And neither the Dutch book argument, nor any other in the personalist arsenal of proofs of the probability axioms, entails the dynamic assumption. Not one entails Bayesianism. So the personalist requires the dynamic assumption to be Bayesian. It is true that in consistency a personalist could abandon the Bayesian model of learning from experience. Salt could lose its savour." In fact, there are non Bayesian updating rules that also avoid Dutch books (as discussed in the literature on "probability kinematics" following the publication of Richard C. Jeffrey's rule, which is itself regarded as Bayesian). The additional hypotheses sufficient to (uniquely) specify Bayesian updating are substantial and not universally seen as satisfactory.

A decision theoretic justification of the use of Bayesian inference (and hence of Bayesian probabilities) was given by Abraham Wald, who proved that every admissible statistical procedure is either a Bayesian procedure or a limit of Bayesian procedures. Conversely, every Bayesian procedure is admissible.