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In Bayesian statistics, Bayes' rule prescribes how to update the prior with new information to obtain the posterior probability distribution, which is the conditional distribution of the uncertain quantity given new data.
Bayes' theorem applied to an event space generated by continuous random variables X and Y with known probability distributions. There exists an instance of Bayes' theorem for each point in the domain. In practice, these instances might be parametrized by writing the specified probability densities as a function of x and y.
The posterior probability distribution of one random variable given the value of another can be calculated with Bayes' theorem by multiplying the prior probability distribution by the likelihood function, and then dividing by the normalizing constant, as follows:
In Bayesian probability theory, if, given a likelihood function (), the posterior distribution is in the same probability distribution family as the prior probability distribution (), the prior and posterior are then called conjugate distributions with respect to that likelihood function and the prior is called a conjugate prior for the likelihood function ().
Bayes' theorem describes the conditional probability of an event based on data as well as prior information or beliefs about the event or conditions related to the event. [ 3 ] [ 4 ] For example, in Bayesian inference , Bayes' theorem can be used to estimate the parameters of a probability distribution or statistical model .
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.
In the Bayesian approach, [1] the data are supplemented with additional information in the form of a prior probability distribution. The prior belief about the parameters is combined with the data's likelihood function according to Bayes theorem to yield the posterior belief about the parameters and .
The sub-models combine to form the hierarchical model, and Bayes' theorem is used to integrate them with the observed data and account for all the uncertainty that is present. The result of this integration is the posterior distribution, also known as the updated probability estimate, as additional evidence on the prior distribution is acquired.