[SciPy-user] computing Bayesian credible intervals
Johann Cohen-Tanugi
cohen@slac.stanford....
Tue May 6 15:44:53 CDT 2008
mamma mia, shame on me... :(
Of course in my code, it should have read :
value+=coeff*(s*Ton)**(i-1)/sp.factorial(i-1)
and not
value=coeff*(s*Ton)**(i-1)/sp.factorial(i-1)
Convergence is much better now with the simple fsolve!
so much for public humiliation. Thanks all for bearing with me :)
I am still interested in testing constrained solver, Dmitrey.
Johann
Robert Kern wrote:
> On Tue, May 6, 2008 at 2:18 AM, Anne Archibald
> <peridot.faceted@gmail.com> wrote:
>
>> Do you really need p(a)=p(b)? I mean, is this the right supplementary
>> condition to construct a credible interval? Would it be acceptable to
>> choose instead p(x<a)=p(x>b)? This will probably be easier to work
>> with, at least if you can get good numerical behaviour out of your
>> PDF.
>>
>
> It's one of the defining characteristics of the kind of credible
> interval Johann is looking for. "Bayesian credible interval" is a
> somewhat broad designation; it applies to pretty much any interval on
> a Baysian posterior distribution as long as the interval is selected
> according to some rule that statisticians agree has some kind of
> meaning.
>
> In practice, one of the most common such rules is to find the "Highest
> Posterior Density" (HPD) interval, where p(a)=p(b) and P(b)-P(a)=0.95
> or some such chosen credibility level. Imagine the PDF being flooded
> with water up to its peak (let's assume unimodality for now). We
> gradually lower the level of the water such that for both points a and
> b where the water touches the PDF, p(a)=p(b). We lower the water until
> the integral under the "dry" peak is equal to 0.95. Then [a,b] is the
> HPD credible interval for that PDF at the 0.95 credibility level.
>
>
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