Question about point mass prior and continuous distribution












3














Suppose we have a point mass prior,



$$theta sim begin{cases} I(theta=1) ,& prob=frac{1}{2} \
Gamma(c,c), & prob=frac{1}{2} end{cases}$$



Then if we are asked



$lim_{c to infty} P(theta=1)$



Now here is the issue, since Gamma is a continuous distribution, it seems that in the case of gamma,we will never have $theta=1$.



To me it thus seems that regardless of the value of c, the $p(theta=1)=frac{1}{2}$



However, we also have that since expected value of a $gamma(a,b)=frac{a}{b}$ so that the expected value of the gamma is 1 when we have $a=b=c$



But, by Markov, for $X sim Gamma(c,c)$



$lim_{c to infty} Pr(|X-mu| lt epsilon) to 1$ for any $epsilon gt 0$



So is $lim_{c to infty}P(theta=1) =1$ , or is $lim_{c to infty}P(theta=1)=frac{1}{2}$



As even though the markov inequality holds, it is a continous distirbution, so we will never have it exactly equal to 1.



Thanks all










share|cite|improve this question





























    3














    Suppose we have a point mass prior,



    $$theta sim begin{cases} I(theta=1) ,& prob=frac{1}{2} \
    Gamma(c,c), & prob=frac{1}{2} end{cases}$$



    Then if we are asked



    $lim_{c to infty} P(theta=1)$



    Now here is the issue, since Gamma is a continuous distribution, it seems that in the case of gamma,we will never have $theta=1$.



    To me it thus seems that regardless of the value of c, the $p(theta=1)=frac{1}{2}$



    However, we also have that since expected value of a $gamma(a,b)=frac{a}{b}$ so that the expected value of the gamma is 1 when we have $a=b=c$



    But, by Markov, for $X sim Gamma(c,c)$



    $lim_{c to infty} Pr(|X-mu| lt epsilon) to 1$ for any $epsilon gt 0$



    So is $lim_{c to infty}P(theta=1) =1$ , or is $lim_{c to infty}P(theta=1)=frac{1}{2}$



    As even though the markov inequality holds, it is a continous distirbution, so we will never have it exactly equal to 1.



    Thanks all










    share|cite|improve this question



























      3












      3








      3


      1





      Suppose we have a point mass prior,



      $$theta sim begin{cases} I(theta=1) ,& prob=frac{1}{2} \
      Gamma(c,c), & prob=frac{1}{2} end{cases}$$



      Then if we are asked



      $lim_{c to infty} P(theta=1)$



      Now here is the issue, since Gamma is a continuous distribution, it seems that in the case of gamma,we will never have $theta=1$.



      To me it thus seems that regardless of the value of c, the $p(theta=1)=frac{1}{2}$



      However, we also have that since expected value of a $gamma(a,b)=frac{a}{b}$ so that the expected value of the gamma is 1 when we have $a=b=c$



      But, by Markov, for $X sim Gamma(c,c)$



      $lim_{c to infty} Pr(|X-mu| lt epsilon) to 1$ for any $epsilon gt 0$



      So is $lim_{c to infty}P(theta=1) =1$ , or is $lim_{c to infty}P(theta=1)=frac{1}{2}$



      As even though the markov inequality holds, it is a continous distirbution, so we will never have it exactly equal to 1.



      Thanks all










      share|cite|improve this question















      Suppose we have a point mass prior,



      $$theta sim begin{cases} I(theta=1) ,& prob=frac{1}{2} \
      Gamma(c,c), & prob=frac{1}{2} end{cases}$$



      Then if we are asked



      $lim_{c to infty} P(theta=1)$



      Now here is the issue, since Gamma is a continuous distribution, it seems that in the case of gamma,we will never have $theta=1$.



      To me it thus seems that regardless of the value of c, the $p(theta=1)=frac{1}{2}$



      However, we also have that since expected value of a $gamma(a,b)=frac{a}{b}$ so that the expected value of the gamma is 1 when we have $a=b=c$



      But, by Markov, for $X sim Gamma(c,c)$



      $lim_{c to infty} Pr(|X-mu| lt epsilon) to 1$ for any $epsilon gt 0$



      So is $lim_{c to infty}P(theta=1) =1$ , or is $lim_{c to infty}P(theta=1)=frac{1}{2}$



      As even though the markov inequality holds, it is a continous distirbution, so we will never have it exactly equal to 1.



      Thanks all







      bayesian continuous-data






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      edited Nov 30 at 3:15

























      asked Nov 30 at 2:55









      Learning

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          5














          Your specified prior distribution is a mixture of a continuous and discrete part. Let $I sim text{Bern}(1/2)$ be the indicator that the parameter is taken from the gamma distribution. Then using the law of total probability you have:



          $$begin{equation} begin{aligned}
          mathbb{P}(theta = 1|c)
          &= mathbb{P}(theta = 1|c, I=0) cdot mathbb{P}(I=0) + mathbb{P}(theta = 1|c, I=1) cdot mathbb{P}(I=1) \[6pt]
          &= frac{1}{2} cdot mathbb{P}(theta = 1|c, I=0) + frac{1}{2} cdot mathbb{P}(theta = 1|c, I=1) \[6pt]
          &= frac{1}{2} + frac{1}{2} cdot mathbb{P}(theta = 1| theta sim text{Ga}(c,c)) \[6pt]
          &= frac{1}{2}. \[6pt]
          end{aligned} end{equation}$$



          (Note that the last step comes from recognising that the gamma is a continuous distribution, so the probability of a specific point is zero under this distribution.) This result holds for all values of $c$, so you are correct that it also holds in the limit:



          $$lim_{c rightarrow infty} mathbb{P}(theta = 1|c) = lim_{c rightarrow infty} frac{1}{2} = frac{1}{2}.$$



          Your later use of Chebychev's inequality shows that as $c rightarrow infty$ you get $theta rightarrow 1$ (convergence in probability), but this does not change the fact that $mathbb{P}(theta = 1|c) = 1/2$ for all $c > 0$. (To understand the reason for this more fully, have a read about the distinction between convergence in probability and almost-sure convergence.)






          share|cite|improve this answer





























            2















            Disclaimer The above answer is completely fine if the question
            is about the prior probability that $θ=1$. While there is no
            indication whatsoever in the text of the question to the alternative, namely
            that the question is about the posterior probability that $θ=1$, a recent
            exchange with students about a very similar question in my book, The
            Bayesian Choice (Exercise 5.9), leads me to propose the extension
            to the posterior setting.




            In this posterior case, when $Xsim mathcal{E}(theta)$ [for instance] the probability that $θ=1$ is
            begin{align*}
            mathbb{P}(theta=1|x)&= frac{e^{-x}}{e^{-x}+int_0^infty theta e^{-theta x} pi_c(theta)text{d}theta}\
            &=frac{e^{-x}}{e^{-x}+ int_0^infty theta e^{-theta x} c^c theta^{c-1}e^{-c theta} Gamma(c)^{-1}text{d}theta}\
            &=frac{e^{-x}}{e^{-x}+c^c (c+x)^{-c-1} Gamma(c+1)Gamma(c)^{-1}}\
            &=frac{e^{-x}}{e^{-x}+c^{c+1} (c+x)^{-c-1}}\
            &=frac{e^{-x}}{e^{-x}+ (1+x/c)^{-c-1}}\
            end{align*}

            which converges to
            $$frac{e^{-x}}{e^{-x}+e^{-x}}=frac{1}{2}$$
            when $c$ goes to infinity.






            share|cite|improve this answer





















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              2 Answers
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              2 Answers
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              5














              Your specified prior distribution is a mixture of a continuous and discrete part. Let $I sim text{Bern}(1/2)$ be the indicator that the parameter is taken from the gamma distribution. Then using the law of total probability you have:



              $$begin{equation} begin{aligned}
              mathbb{P}(theta = 1|c)
              &= mathbb{P}(theta = 1|c, I=0) cdot mathbb{P}(I=0) + mathbb{P}(theta = 1|c, I=1) cdot mathbb{P}(I=1) \[6pt]
              &= frac{1}{2} cdot mathbb{P}(theta = 1|c, I=0) + frac{1}{2} cdot mathbb{P}(theta = 1|c, I=1) \[6pt]
              &= frac{1}{2} + frac{1}{2} cdot mathbb{P}(theta = 1| theta sim text{Ga}(c,c)) \[6pt]
              &= frac{1}{2}. \[6pt]
              end{aligned} end{equation}$$



              (Note that the last step comes from recognising that the gamma is a continuous distribution, so the probability of a specific point is zero under this distribution.) This result holds for all values of $c$, so you are correct that it also holds in the limit:



              $$lim_{c rightarrow infty} mathbb{P}(theta = 1|c) = lim_{c rightarrow infty} frac{1}{2} = frac{1}{2}.$$



              Your later use of Chebychev's inequality shows that as $c rightarrow infty$ you get $theta rightarrow 1$ (convergence in probability), but this does not change the fact that $mathbb{P}(theta = 1|c) = 1/2$ for all $c > 0$. (To understand the reason for this more fully, have a read about the distinction between convergence in probability and almost-sure convergence.)






              share|cite|improve this answer


























                5














                Your specified prior distribution is a mixture of a continuous and discrete part. Let $I sim text{Bern}(1/2)$ be the indicator that the parameter is taken from the gamma distribution. Then using the law of total probability you have:



                $$begin{equation} begin{aligned}
                mathbb{P}(theta = 1|c)
                &= mathbb{P}(theta = 1|c, I=0) cdot mathbb{P}(I=0) + mathbb{P}(theta = 1|c, I=1) cdot mathbb{P}(I=1) \[6pt]
                &= frac{1}{2} cdot mathbb{P}(theta = 1|c, I=0) + frac{1}{2} cdot mathbb{P}(theta = 1|c, I=1) \[6pt]
                &= frac{1}{2} + frac{1}{2} cdot mathbb{P}(theta = 1| theta sim text{Ga}(c,c)) \[6pt]
                &= frac{1}{2}. \[6pt]
                end{aligned} end{equation}$$



                (Note that the last step comes from recognising that the gamma is a continuous distribution, so the probability of a specific point is zero under this distribution.) This result holds for all values of $c$, so you are correct that it also holds in the limit:



                $$lim_{c rightarrow infty} mathbb{P}(theta = 1|c) = lim_{c rightarrow infty} frac{1}{2} = frac{1}{2}.$$



                Your later use of Chebychev's inequality shows that as $c rightarrow infty$ you get $theta rightarrow 1$ (convergence in probability), but this does not change the fact that $mathbb{P}(theta = 1|c) = 1/2$ for all $c > 0$. (To understand the reason for this more fully, have a read about the distinction between convergence in probability and almost-sure convergence.)






                share|cite|improve this answer
























                  5












                  5








                  5






                  Your specified prior distribution is a mixture of a continuous and discrete part. Let $I sim text{Bern}(1/2)$ be the indicator that the parameter is taken from the gamma distribution. Then using the law of total probability you have:



                  $$begin{equation} begin{aligned}
                  mathbb{P}(theta = 1|c)
                  &= mathbb{P}(theta = 1|c, I=0) cdot mathbb{P}(I=0) + mathbb{P}(theta = 1|c, I=1) cdot mathbb{P}(I=1) \[6pt]
                  &= frac{1}{2} cdot mathbb{P}(theta = 1|c, I=0) + frac{1}{2} cdot mathbb{P}(theta = 1|c, I=1) \[6pt]
                  &= frac{1}{2} + frac{1}{2} cdot mathbb{P}(theta = 1| theta sim text{Ga}(c,c)) \[6pt]
                  &= frac{1}{2}. \[6pt]
                  end{aligned} end{equation}$$



                  (Note that the last step comes from recognising that the gamma is a continuous distribution, so the probability of a specific point is zero under this distribution.) This result holds for all values of $c$, so you are correct that it also holds in the limit:



                  $$lim_{c rightarrow infty} mathbb{P}(theta = 1|c) = lim_{c rightarrow infty} frac{1}{2} = frac{1}{2}.$$



                  Your later use of Chebychev's inequality shows that as $c rightarrow infty$ you get $theta rightarrow 1$ (convergence in probability), but this does not change the fact that $mathbb{P}(theta = 1|c) = 1/2$ for all $c > 0$. (To understand the reason for this more fully, have a read about the distinction between convergence in probability and almost-sure convergence.)






                  share|cite|improve this answer












                  Your specified prior distribution is a mixture of a continuous and discrete part. Let $I sim text{Bern}(1/2)$ be the indicator that the parameter is taken from the gamma distribution. Then using the law of total probability you have:



                  $$begin{equation} begin{aligned}
                  mathbb{P}(theta = 1|c)
                  &= mathbb{P}(theta = 1|c, I=0) cdot mathbb{P}(I=0) + mathbb{P}(theta = 1|c, I=1) cdot mathbb{P}(I=1) \[6pt]
                  &= frac{1}{2} cdot mathbb{P}(theta = 1|c, I=0) + frac{1}{2} cdot mathbb{P}(theta = 1|c, I=1) \[6pt]
                  &= frac{1}{2} + frac{1}{2} cdot mathbb{P}(theta = 1| theta sim text{Ga}(c,c)) \[6pt]
                  &= frac{1}{2}. \[6pt]
                  end{aligned} end{equation}$$



                  (Note that the last step comes from recognising that the gamma is a continuous distribution, so the probability of a specific point is zero under this distribution.) This result holds for all values of $c$, so you are correct that it also holds in the limit:



                  $$lim_{c rightarrow infty} mathbb{P}(theta = 1|c) = lim_{c rightarrow infty} frac{1}{2} = frac{1}{2}.$$



                  Your later use of Chebychev's inequality shows that as $c rightarrow infty$ you get $theta rightarrow 1$ (convergence in probability), but this does not change the fact that $mathbb{P}(theta = 1|c) = 1/2$ for all $c > 0$. (To understand the reason for this more fully, have a read about the distinction between convergence in probability and almost-sure convergence.)







                  share|cite|improve this answer












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                  share|cite|improve this answer










                  answered Nov 30 at 3:31









                  Ben

                  21.7k224103




                  21.7k224103

























                      2















                      Disclaimer The above answer is completely fine if the question
                      is about the prior probability that $θ=1$. While there is no
                      indication whatsoever in the text of the question to the alternative, namely
                      that the question is about the posterior probability that $θ=1$, a recent
                      exchange with students about a very similar question in my book, The
                      Bayesian Choice (Exercise 5.9), leads me to propose the extension
                      to the posterior setting.




                      In this posterior case, when $Xsim mathcal{E}(theta)$ [for instance] the probability that $θ=1$ is
                      begin{align*}
                      mathbb{P}(theta=1|x)&= frac{e^{-x}}{e^{-x}+int_0^infty theta e^{-theta x} pi_c(theta)text{d}theta}\
                      &=frac{e^{-x}}{e^{-x}+ int_0^infty theta e^{-theta x} c^c theta^{c-1}e^{-c theta} Gamma(c)^{-1}text{d}theta}\
                      &=frac{e^{-x}}{e^{-x}+c^c (c+x)^{-c-1} Gamma(c+1)Gamma(c)^{-1}}\
                      &=frac{e^{-x}}{e^{-x}+c^{c+1} (c+x)^{-c-1}}\
                      &=frac{e^{-x}}{e^{-x}+ (1+x/c)^{-c-1}}\
                      end{align*}

                      which converges to
                      $$frac{e^{-x}}{e^{-x}+e^{-x}}=frac{1}{2}$$
                      when $c$ goes to infinity.






                      share|cite|improve this answer


























                        2















                        Disclaimer The above answer is completely fine if the question
                        is about the prior probability that $θ=1$. While there is no
                        indication whatsoever in the text of the question to the alternative, namely
                        that the question is about the posterior probability that $θ=1$, a recent
                        exchange with students about a very similar question in my book, The
                        Bayesian Choice (Exercise 5.9), leads me to propose the extension
                        to the posterior setting.




                        In this posterior case, when $Xsim mathcal{E}(theta)$ [for instance] the probability that $θ=1$ is
                        begin{align*}
                        mathbb{P}(theta=1|x)&= frac{e^{-x}}{e^{-x}+int_0^infty theta e^{-theta x} pi_c(theta)text{d}theta}\
                        &=frac{e^{-x}}{e^{-x}+ int_0^infty theta e^{-theta x} c^c theta^{c-1}e^{-c theta} Gamma(c)^{-1}text{d}theta}\
                        &=frac{e^{-x}}{e^{-x}+c^c (c+x)^{-c-1} Gamma(c+1)Gamma(c)^{-1}}\
                        &=frac{e^{-x}}{e^{-x}+c^{c+1} (c+x)^{-c-1}}\
                        &=frac{e^{-x}}{e^{-x}+ (1+x/c)^{-c-1}}\
                        end{align*}

                        which converges to
                        $$frac{e^{-x}}{e^{-x}+e^{-x}}=frac{1}{2}$$
                        when $c$ goes to infinity.






                        share|cite|improve this answer
























                          2












                          2








                          2







                          Disclaimer The above answer is completely fine if the question
                          is about the prior probability that $θ=1$. While there is no
                          indication whatsoever in the text of the question to the alternative, namely
                          that the question is about the posterior probability that $θ=1$, a recent
                          exchange with students about a very similar question in my book, The
                          Bayesian Choice (Exercise 5.9), leads me to propose the extension
                          to the posterior setting.




                          In this posterior case, when $Xsim mathcal{E}(theta)$ [for instance] the probability that $θ=1$ is
                          begin{align*}
                          mathbb{P}(theta=1|x)&= frac{e^{-x}}{e^{-x}+int_0^infty theta e^{-theta x} pi_c(theta)text{d}theta}\
                          &=frac{e^{-x}}{e^{-x}+ int_0^infty theta e^{-theta x} c^c theta^{c-1}e^{-c theta} Gamma(c)^{-1}text{d}theta}\
                          &=frac{e^{-x}}{e^{-x}+c^c (c+x)^{-c-1} Gamma(c+1)Gamma(c)^{-1}}\
                          &=frac{e^{-x}}{e^{-x}+c^{c+1} (c+x)^{-c-1}}\
                          &=frac{e^{-x}}{e^{-x}+ (1+x/c)^{-c-1}}\
                          end{align*}

                          which converges to
                          $$frac{e^{-x}}{e^{-x}+e^{-x}}=frac{1}{2}$$
                          when $c$ goes to infinity.






                          share|cite|improve this answer













                          Disclaimer The above answer is completely fine if the question
                          is about the prior probability that $θ=1$. While there is no
                          indication whatsoever in the text of the question to the alternative, namely
                          that the question is about the posterior probability that $θ=1$, a recent
                          exchange with students about a very similar question in my book, The
                          Bayesian Choice (Exercise 5.9), leads me to propose the extension
                          to the posterior setting.




                          In this posterior case, when $Xsim mathcal{E}(theta)$ [for instance] the probability that $θ=1$ is
                          begin{align*}
                          mathbb{P}(theta=1|x)&= frac{e^{-x}}{e^{-x}+int_0^infty theta e^{-theta x} pi_c(theta)text{d}theta}\
                          &=frac{e^{-x}}{e^{-x}+ int_0^infty theta e^{-theta x} c^c theta^{c-1}e^{-c theta} Gamma(c)^{-1}text{d}theta}\
                          &=frac{e^{-x}}{e^{-x}+c^c (c+x)^{-c-1} Gamma(c+1)Gamma(c)^{-1}}\
                          &=frac{e^{-x}}{e^{-x}+c^{c+1} (c+x)^{-c-1}}\
                          &=frac{e^{-x}}{e^{-x}+ (1+x/c)^{-c-1}}\
                          end{align*}

                          which converges to
                          $$frac{e^{-x}}{e^{-x}+e^{-x}}=frac{1}{2}$$
                          when $c$ goes to infinity.







                          share|cite|improve this answer












                          share|cite|improve this answer



                          share|cite|improve this answer










                          answered Dec 15 at 12:54









                          Xi'an

                          53.2k689345




                          53.2k689345






























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