A probabilistic view on predictive constructions for Bayesian learning

arXiv2208.06785MaRDI QIDQ6407801FDOQ6407801

Authors: Patrizia Berti, Emanuela Dreassi, Fabrizio Leisen, Pietro Rigo, Luca Pratelli 

Publication date: 14 August 2022

Abstract: Given a sequence $X=(X_1,X_2,ldots)$ of random observations, a Bayesian forecaster aims to predict $X_{n+1}$ based on $(X_1,ldots,X_n)$ for each $nge0$. To this end, in principle, she only needs to select a collection $sigma=(sigm{a}_0,sigm{a}_1,ldots)$, called ``strategy" in what follows, where $sigm{a}_0(cdot)=P(X_{1}incdot)$ is the marginal distribution of $X_1$ and $sigm{a}_n(cdot)=P(X_{n+1}incdotmid{X}_1,ldots,X_n)$ the $n$-th predictive distribution. Because of the Ionescu-Tulcea theorem, $sigma$ can be assigned directly, without passing through the usual prior/posterior scheme. One main advantage is that no prior probability is to be selected. In a nutshell, this is the predictive approach to Bayesian learning. A concise review of the latter is provided in this paper. We try to put such an approach in the right framework, to make clear a few misunderstandings, and to provide a unifying view. Some recent results are discussed as well. In addition, some new strategies are introduced and the corresponding distribution of the data sequence $X$ is determined. The strategies concern generalized P'olya urns, random change points, covariates and stationary sequences.

This page was built for publication: A probabilistic view on predictive constructions for Bayesian learning

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6407801)