Thomas Lumley • 9/22/2017

Bayesian surprise

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This technical article examines the concept of 'surprise' in Bayesian statistics, specifically what happens when observed data is far from prior expectations. It uses toy models comparing Normal and Cauchy distributions to show how the posterior distribution can sensibly 'reject' the component (prior or likelihood) with heavier tails, providing a clear, low-dimensional illustration of a principle relevant to high-dimensional inference problems.

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#statistics #mathematical modeling #Bayesian Inference
Bayesian surprise

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