The NYT has a book review of THE THEORY THAT WOULD NOT DIE: How Bayes’ Rule Cracked the Enigma Code, Hunted Down Russian Submarines and Emerged Triumphant From Two Centuries of Controversy, a new book by Sharon Bertsch McGrayne. I have not read the book, but the article is a good introduction to the Bayesian approach to statistical analysis, or at least what it claims to do in theory.

The theorem itself can be stated simply. Beginning with a provisional hypothesis about the world (there are, of course, no other kinds), we assign to it an initial probability called the prior probability or simply the prior. After actively collecting or happening upon some potentially relevant evidence, we use Bayes’s theorem to recalculate the probability of the hypothesis in light of the new evidence. This revised probability is called the posterior probability or simply the posterior. Specifically Bayes’s theorem states (trumpets sound here) that the posterior probability of a hypothesis is equal to the product of (a) the prior probability of the hypothesis and (b) the conditional probability of the evidence given the hypothesis, divided by (c) the probability of the new evidence.

Consider a concrete example. Assume that you’re presented with three coins, two of them fair and the other a counterfeit that always lands heads. If you randomly pick one of the three coins, the probability that it’s the counterfeit is 1 in 3. This is the prior probability of the hypothesis that the coin is counterfeit. Now after picking the coin, you flip it three times and observe that it lands heads each time. Seeing this new evidence that your chosen coin has landed heads three times in a row, you want to know the revised posterior probability that it is the counterfeit. The answer to this question, found using Bayes’s theorem (calculation mercifully omitted), is 4 in 5. You thus revise your probability estimate of the coin’s being counterfeit upward from 1 in 3 to 4 in 5.

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## Bayesian statistics in the NYT

August 8, 2011 § Leave a comment

The NYT has a book review of THE THEORY THAT WOULD NOT DIE: How Bayes’ Rule Cracked the Enigma Code, Hunted Down Russian Submarines and Emerged Triumphant From Two Centuries of Controversy, a new book by Sharon Bertsch McGrayne. I have not read the book, but the article is a good introduction to the Bayesian approach to statistical analysis, or at least what it claims to do in theory.

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