Estimation of the probability p after having observed s successes in n trials | Vose Software

Estimation of the probability p after having observed s successes in n trials

The idea

The results for the Binomial and Negative Binomial distributions are both modelling randomness: that is to say that they are returning probability distributions of possible future outcomes. At times, however, we are looking back at the results of a binomial process and wish to determine one of the parameters. For example, we may have observed n trials of which s were successes and from that information would like to estimate p. This binomial probability is a fundamental property of the stochastic system and can never be observed, but we can become progressively more certain about its true value by collecting data.

Modelling the uncertainty about p

Bayesian statistics

If we have observed s successes in n random trials, a Bayesian analysis gives the conveniently simple result:

p=Beta(s+a, n-s+b)

where a Beta(a,b) prior is assumed.

The Beta(1,1) is a Uniform(0,1) distribution - often considered appropriate as an uninformed prior, in which case we have:

p=Beta(s+1, n-s+1)

The Beta distribution can be used this way because it is a conjugate distribution to the binomial likelihood function.

Classical statistics

Three methods for the estimation of p are discussed here.

Comparison between estimation methods

A comparison of the classical and Bayesian methods of estimating p is provided here.

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