Updating Probabilities with Data and Moments

Details Updating Probabilities with Data and Moments Updating Probabilities with Data and Moments

2007-08-13

arxiv.org/abs/0708.1593v2

Physics

Data Analysis, Statistics and Probability

Presented at the 27th International Workshop on Bayesian Inference and Maximum Entropy Methods in Science and Engineering, Sar

Scientific paper

10.1063/1.2821302

We use the method of Maximum (relative) Entropy to process information in the form of observed data and moment constraints. The generic "canonical" form of the posterior distribution for the problem of simultaneous updating with data and moments is obtained. We discuss the general problem of non-commuting constraints, when they should be processed sequentially and when simultaneously. As an illustration, the multinomial example of die tosses is solved in detail for two superficially similar but actually very different problems.

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