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Probability and Frequency
Probability and Frequency
Probability and Frequency
(Lecture 3)
Tom Loredo
Frequency of 1s in N trials:
1 X n
f= rt =
N t N
5
Full-Season Rank
First 45 at-bats
10 Full season
Shrinkage estimator
15
20
0 0.1 0.2 0.3 0.4 0.5
Batting Average
Green estimates are deliberately biased from observed frequenciesand predict the future
better! (Shrinkage)
Probability and Frequency
Probabilities and frequencies in repeated experiments are
simply related only in the simplest settings (independence,
small dimension).
Z Z
Q= d p(|I) dD p(D|, I) [ (D)]
Z Z
Q= d p(|I) dD p(D|, I) [ (D)]
Binomial CR coverage, N = 50
Berger & Bayarri 2004
Choose as the true model that with the highest posterior probability, but
only if the probability exceeds Pcrit .
1
Q>
1+ Bcrit
Comfort from experience: Rarely are statistical models precisely true, yet
standard models have proved themselves adequate in applications.
One should worry somewhat, but there is not yet any theory providing a
consistent, quantitative model failure alert (Bayesian or frequentist).
Bayesian Consistency & Convergence
Parameter Estimation: