Index: The Book of Statistical ProofsStatistical Models ▷ Count data ▷ Multinomial observations ▷ Maximum-a-posteriori estimation

Theorem: Let $y = [y_1, \ldots, y_k]$ be the number of observations in $k$ categories resulting from $n$ independent trials with unknown category probabilities $p = [p_1, \ldots, p_k]$, such that $y$ follows a multinomial distribution:

\[\label{eq:Mult} y \sim \mathrm{Mult}(n,p) \; .\]

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

\[\label{eq:Mult-prior} \mathrm{p}(p) = \mathrm{Dir}(p; \alpha_0) \; .\]

Then, the maximum-a-posteriori estimates of $p$ are

\[\label{eq:Mult-MAP} \hat{p}_\mathrm{MAP} = \frac{\alpha_0+y-1}{\sum_{j=1}^k \alpha_{0j} + n - k} \; .\]

Proof: Given the prior distribution in \eqref{eq:Mult-prior}, the posterior distribution for multinomial observations is also a Dirichlet distribution

\[\label{eq:Mult-post} \mathrm{p}(p|y) = \mathrm{Dir}(p; \alpha_n)\]

where the posterior hyperparameters are equal to

\[\label{eq:Mult-post-par} \alpha_{nj} = \alpha_{0j} + y_j, \; j = 1,\ldots,k \; .\]

The mode of the Dirichlet distribution is given by:

\[\label{eq:Dir-mode} X \sim \mathrm{Dir}(\alpha) \quad \Rightarrow \quad \mathrm{mode}(X_i) = \frac{\alpha_i-1}{\sum_j \alpha_j - k} \; .\]

Applying \eqref{eq:Dir-mode} to \eqref{eq:Mult-post} with \eqref{eq:Mult-post-par}, the maximum-a-posteriori estimates of $p$ follow as

\[\label{eq:Mult-MAP-s1} \begin{split} \hat{p}_{i,\mathrm{MAP}} &= \frac{\alpha_{ni} - 1}{\sum_j \alpha_{nj} - k} \\ &\overset{\eqref{eq:Mult-post-par}}{=} \frac{\alpha_{0i} + y_i - 1}{\sum_j (\alpha_{0j} + y_j) - k} \\ &= \frac{\alpha_{0i} + y_i - 1}{\sum_j \alpha_{0j} + \sum_j y_j - k} \; . \end{split}\]

Since $y_1 + \ldots + y_k = n$ by definition, this becomes

\[\label{eq:Mult-MAP-s2} \hat{p}_{i,\mathrm{MAP}} = \frac{\alpha_{0i} + y_i - 1}{\sum_j \alpha_{0j} + n - k}\]

which, using the $1 \times k$ vectors $y$, $p$ and $\alpha_0$, can be written as:

\[\label{eq:Mult-MAP-qed} \hat{p}_\mathrm{MAP} = \frac{\alpha_0+y-1}{\sum_{j=1}^k \alpha_{0j} + n - k} \; .\]
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Metadata: ID: P428 | shortcut: mult-map | author: JoramSoch | date: 2023-12-08, 15:14.