A formula with which it is possible to compute a posteriori probabilities of events (or of hypotheses) from a priori probabilities. Let be a complete group of incompatible events: , if . Then the a posteriori probability of event if given that event with has already occurred may be found by Bayes' formula:
where is the a priori probability of , is the conditional probability of event occurring given event (with ) has taken place. The formula was demonstrated by T. Bayes in 1763.
Formula (*) is a special case of the following abstract variant of Bayes' formula. Let and be random elements with values in measurable spaces and and let . Put, for any set ,
where and is the indicator of the set . Then the measure is absolutely continuous with respect to the measure () and , where is the Radon–Nikodým derivative of with respect to .
|||A.N. Kolmogorov, "Foundations of the theory of probability" , Chelsea, reprint (1950) (Translated from Russian)|
|[a1]||R.S. Liptser, A.N. Shiryaev, "Statistics of random processes" , 1 , Springer (1977) pp. Section 7.9 (Translated from Russian)|
Bayes formula. A.N. Shiryaev (originator), Encyclopedia of Mathematics. URL: http://encyclopediaofmath.org/index.php?title=Bayes_formula&oldid=16075