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Consider the data in Example 7.3.10. This time, suppose that we use the improper prior 鈥減.d.f.鈥漒(\xi \left( \theta \right) = 1\)(for all 胃). Find the posterior distribution of\(\theta \)and the posterior probability that\(\theta > 1\).

Short Answer

Expert verified

The posterior probability \(\theta > 1\) is 0.1301

Step by step solution

01

Given information

A certain research center collected 20 nationally prepared food and compared the stated calorie contents per gram from the labels to calorie content determined in the laboratory.

The prior distribution is the normal distribution with mean 0 and a variance of 60.

Hence the priority density function is expressed a \(\xi \left( \theta \right) = 1\) for \(\theta \)

02

Computing the posterior distribution of \(\theta \)

The likelihood function represents the relation between the posterior probability density function of\(\theta \)is proportional to the product of the likelihood function and the prior density function.

That is \(\xi \left( {\theta |x} \right)\alpha {f_n}\left( {x|\theta } \right)\xi \left( \theta \right)\)............(1)

Now, computing the posterior distribution of \(\theta \) for the prior improper is as follows.

The likelihood function is

\({f_n}\left( {x|\theta } \right)\alpha \exp \left( { - \frac{n}{{2\sigma }}{{\left( {\theta - \overline {{x_n}} } \right)}^2}} \right)\)

Also, we know that prior distribution is constant, and substituting the given values,

We get the equation (1) as

\(\begin{aligned}{}\xi \left( {\theta |x} \right) = \exp \left( { - \frac{n}{{2\sigma }}{{\left( {\theta - \overline {{x_n}} } \right)}^2}} \right) \times 1\\ = \exp \left( { - \frac{{20}}{{2 \times 60}}{{\left( {\theta - \left( { - 0.95} \right)} \right)}^2}} \right)\end{aligned}\)

As compared to the theorem, which states that the random variable \({X_1}...{X_n}\) forms a random sample from the normal distribution for which the value of the mean \(\theta \) unknown, but the value of the variance \({\sigma ^2}\) is known. Then the posterior distribution of \(\theta \) is given, that \({X_i} = {x_i}\left( {i = 1,...n} \right)\) is the normal distribution with mean \({\mu _1}\) and variance \(v_1^2\)

\({\mu _1} = \frac{{{\sigma ^2}{\mu _0} + nv_0^2\overline {{x_n}} }}{{{\sigma ^2} + nv_0^2}}\) and

\(v_1^2 = \frac{{{\sigma ^2}v_0^2}}{{{\sigma ^2} + nv_0^2}}\)

The function of \(\theta \) s is proportional to the probability density function of the normal distribution with a mean of -0.95 and

variance \(\frac{{60}}{{20}} = 3\)

let is compute the posterior probability that

\(\theta > 1\) is then

\(\begin{aligned}{}{\rm P}\left( {\theta > 1} \right) &= 1 - \phi \left( {\frac{{1 - \left( { - 0.95} \right)}}{{\sqrt 3 }}} \right)\\ &= 1 - \phi \left( {1.1258} \right)\\ &= 1 - 0.8699\end{aligned}\)

\({\rm P}\left( {\theta > 1} \right) = 0.1301\)

Therefore, the posterior probability \(\theta > 1\) is 0.1301

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Most popular questions from this chapter

Suppose that the heights of the individuals in a certain population have a normal distribution for which the valueof the mean is unknown and the standard deviation is2 inches. Suppose also that the prior distribution ofis anormal distribution for which the mean is 68 inches andthe standard deviation is 1 inch. If 10 people are selectedat random from the population, and their average height is found to be 69.5 inches, what is the posterior distributionof?

Question: Suppose that \({{\bf{X}}_{\bf{1}}}{\bf{,}}...{\bf{,}}{{\bf{X}}_{\bf{n}}}\)form a random sample from an exponential distribution for which the value of the parameter 尾 is unknown (尾 > 0). Find the M.L.E. of 尾.

The Pareto distribution with parameters\({{\bf{x}}_{\bf{0}}}\)and\(\left( {{{\bf{x}}_{\bf{0}}}{\bf{ > 0}}\;{\bf{and}}\;{\bf{\alpha > 0}}} \right)\)is defined in Exercise 16 of Sec. 5.7.Show that the family of Pareto distributions is a conjugate family of prior distributions for samples from a uniformdistribution on the interval (0, 胃), where the value of the endpointis unknown.

The uniform distribution on the interval [a, b], where the value of a is known and the value of b is unknown\(\left( {b > a} \right)\):\(T = \max \left\{ {{X_1},...{X_n}} \right\}\)

Consider again the problem described in Exercise 6, but suppose now that the prior p.d.f. of \(\theta \) is as follows:\(\xi \left( \theta \right) = \left\{ \begin{aligned}{l}2\left( {1 - \theta } \right)\;\;\;\;\;\;for\;0 < \theta < 1\\0\;\;\;\;\;\;\;\;\;\;\;\;\;\;\;otherwise\end{aligned} \right.\)

As in Exercise 6, suppose that in a random sample of eight items, exactly three are found to be defective. Determine the posterior distribution of \(\theta \)

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