|
We know that the predictive distribution in a bayesian scheme is: p(x'|x,param)=integral(p(x'|theta)p(theta|x,param))d(thetha) Where x' is a new observation This is defined as averaging over the posterior p(theta|x,param). I would like to know if anyone has a link to this proof, since I have yet to find it. Thanks |
I think this is a definition, a consequence of the concept of marginal probabilities, no?
Really? Im kinda missing it. Is it something like:
p(a|b)=integral(p(a|c)p(c|b))d(c)
??
Yes, with c being theta. You are just marginalizing theta http://en.wikipedia.org/wiki/Marginal_probability
Cool, now I see it, was a bit overwhelmed with so many equations.
Probability theory is indeed more confusing than I'd like.