Index: The Book of Statistical ProofsStatistical Models ▷ Count data ▷ Binomial observations ▷ Log model evidence

Theorem: Let $y$ be the number of successes resulting from $n$ independent trials with unknown success probability $p$, such that $y$ follows a binomial distribution:

$\label{eq:Bin} y \sim \mathrm{Bin}(n,p) \; .$

Moreover, assume a beta prior distribution over the model parameter $p$:

$\label{eq:Bin-prior} \mathrm{p}(p) = \mathrm{Bet}(p; \alpha_0, \beta_0) \; .$

Then, the log model evidence for this model is

$\label{eq:Bin-LME} \begin{split} \log \mathrm{p}(y|m) = \log \Gamma(n+1) &- \log \Gamma(k+1) - \log \Gamma(n-k+1) \\ &+ \log B(\alpha_n,\beta_n) - \log B(\alpha_0,\beta_0) \; . \end{split}$

where the posterior hyperparameters are given by

$\label{eq:Bin-post-par} \begin{split} \alpha_n &= \alpha_0 + y \\ \beta_n &= \beta_0 + (n-y) \; . \end{split}$

Proof: With the probability mass function of the binomial distribution, the likelihood function implied by \eqref{eq:Bin} is given by

$\label{eq:Bin-LF} \mathrm{p}(y|p) = {n \choose y} \, p^y \, (1-p)^{n-y} \; .$

Combining the likelihood function \eqref{eq:Bin-LF} with the prior distribution \eqref{eq:Bin-prior}, the joint likelihood of the model is given by

$\label{eq:Bin-JL-s1} \begin{split} \mathrm{p}(y,p) &= \mathrm{p}(y|p) \, \mathrm{p}(p) \\ &= {n \choose y} \, p^y \, (1-p)^{n-y} \cdot \frac{1}{B(\alpha_0,\beta_0)} \, p^{\alpha_0-1} \, (1-p)^{\beta_0-1} \\ &= {n \choose y} \, \frac{1}{B(\alpha_0,\beta_0)} \, p^{\alpha_0+y-1} \, (1-p)^{\beta_0+(n-y)-1} \; . \end{split}$ $\label{eq:Bin-ME-s1} \mathrm{p}(y) = \int \mathrm{p}(y,p) \, \mathrm{d}p \; .$

Setting $\alpha_n = \alpha_0 + y$ and $\beta_n = \beta_0 + (n-y)$, the joint likelihood can also be written as

$\label{eq:Bin-JL-s2} \mathrm{p}(y,p) = {n \choose y} \, \frac{1}{B(\alpha_0,\beta_0)} \, \frac{B(\alpha_n,\beta_n)}{1} \, \frac{1}{B(\alpha_n,\beta_n)} \, p^{\alpha_n-1} \, (1-p)^{\beta_n-1} \; .$

Using the probability density function of the beta distribution, $p$ can now be integrated out easily

$\label{eq:Bin-ME-s2} \begin{split} \mathrm{p}(y) &= \int {n \choose y} \, \frac{1}{B(\alpha_0,\beta_0)} \, \frac{B(\alpha_n,\beta_n)}{1} \, \frac{1}{B(\alpha_n,\beta_n)} \, p^{\alpha_n-1} \, (1-p)^{\beta_n-1} \, \mathrm{d}p \\ &= {n \choose y} \, \frac{B(\alpha_n,\beta_n)}{B(\alpha_0,\beta_0)} \int \mathrm{Bet}(p; \alpha_n, \beta_n) \, \mathrm{d}p \\ &= {n \choose y} \, \frac{B(\alpha_n,\beta_n)}{B(\alpha_0,\beta_0)} \; , \end{split}$

such that the log model evidence (LME) is shown to be

$\label{eq:Bin-LME-s1} \log \mathrm{p}(y|m) = \log {n \choose y} + \log B(\alpha_n,\beta_n) - \log B(\alpha_0,\beta_0) \; .$

With the definition of the binomial coefficient

$\label{eq:bin-coeff} {n \choose k} = \frac{n!}{k! \, (n-k)!}$

and the definition of the gamma function

$\label{eq:gam-fct} \Gamma(n) = (n-1)! \; ,$

the LME finally becomes

$\label{eq:Bin-LME-s2} \begin{split} \log \mathrm{p}(y|m) = \log \Gamma(n+1) &- \log \Gamma(y+1) - \log \Gamma(n-y+1) \\ &+ \log B(\alpha_n,\beta_n) - \log B(\alpha_0,\beta_0) \; . \end{split}$
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Metadata: ID: P31 | shortcut: bin-lme | author: JoramSoch | date: 2020-01-24, 00:44.