Bayesian posteriors for arbitrarily rare events

DOI10.1073/PNAS.1618780114zbMATH Open1407.62077arXiv1608.05002OpenAlexW2509872720WikidataQ38820108 ScholiaQ38820108MaRDI QIDQ4646121FDOQ4646121

Authors: Drew Fudenberg, Kevin X. He, Lorens A. Imhof 

Publication date: 11 January 2019

Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Abstract: We study how much data a Bayesian observer needs to correctly infer the relative likelihoods of two events when both events are arbitrarily rare. Each period, either a blue die or a red die is tossed. The two dice land on side $1$ with unknown probabilities $p_1$ and $q_1$, which can be arbitrarily low. Given a data-generating process where $p_{1}gec{q}_1$, we are interested in how much data is required to guarantee that with high probability the observer's Bayesian posterior mean for $p_1$ exceeds $(1-delta)c$ times that for $q_1$. If the prior densities for the two dice are positive on the interior of the parameter space and behave like power functions at the boundary, then for every $epsilon>0,$ there exists a finite $N$ so that the observer obtains such an inference after $n$ periods with probability at least $1-epsilon$ whenever $n{p}_{1}geN$. The condition on $n$ and $p_1$ is the best possible. The result can fail if one of the prior densities converges to zero exponentially fast at the boundary.

Full work available at URL: https://arxiv.org/abs/1608.05002

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Mathematics Subject Classification ID

Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32)

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