Posterior Distribution

Gist

Used for Bayesian analysis

Definition

Using the Bayes formula we know that:

Pr(A|B)=Pr(B|A)Pr(A)

which for our observed data y and model parameter θ can be rewritten as:

Pr(θ|y)=Pr(y|θ)Pr(θ)

However, analytical expressions are impossible a lot of times so we need to be able to simulate from the posterior distribution through methods like Markov Chain Monte Carlo.