Si tenemos un tamaño de muestra pequeño, ¿influirá mucho la distribución previa en la distribución posterior?
bayesian
sample-size
prior
toby j
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Respuestas:
Yes. The posterior distribution for a parameterθ , given a data set X can be written as
or, as is more commonly displayed on the log scale,
The log-likelihood,L(θ;X)=log(p(X|θ)) , scales with the sample size, since it is a function of the data, while the prior density does not. Therefore, as the sample size increases, the absolute value of L(θ;X) is getting larger while log(p(θ)) stays fixed (for a fixed value of θ ), thus the sum L(θ;X)+log(p(θ)) becomes more heavily influenced by L(θ;X) as the sample size increases.
Therefore, to directly answer your question - the prior distribution becomes less and less relevant as it becomes outweighed by the likelihood. So, for a small sample size, the prior distribution plays a much larger role. This agrees with intuition since, you'd expect that prior specifications would play a larger role when there isn't much data available to disprove them whereas, if the sample size is very large, the signal present in the data will outweigh whatever a priori beliefs were put into the model.
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Here is an attempt to illustrate the last paragraph in Macro's excellent (+1) answer. It shows two priors for the parameterp in the Binomial(n,p) distribution. For a few different n , the posterior distributions are shown when x=n/2 has been observed. As n grows, both posteriors become more and more concentrated around 1/2 .
Forn=2 the difference is quite big, but for n=50 there is virtually no difference.
The two priors below areBeta(1/2,1/2) (black) and Beta(2,2) (red). The posteriors have the same colours as the priors that they are derived from.
(Note that for many other models and other priors,n=50 won't be enough for the prior not to matter!)
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