Informatics and Machine Learning. Stephen Winters-Hilt

φ(x_n), where λ_i ≥ 0 and ∑λ_i = 1. Thus, if λ₁ = p(x₁), we satisfy the relations for line interpolation as well as discrete probability distributions, so can rewrite in terms of the Expectation definition:

      Since φ(x) = −log(x) is a convex function:

       Variance:

       Chebyshev's Inequality:

      For k > 0, P(|X − E(X)| > k) ≤ Var(X)/k²

      Proof:

2.5 Statistics, Conditional Probability, and Bayes' Rule

      So far we have counts and probabilities, but what of the probability of X when you know Y has occurred (where X is dependent on Y)? How to account for a greater state of knowledge? It turns out the answer to this was not put on a formal mathematical footing until half way thru the twentieth century, with the Cox derivation [101] .

      2.5.1 The Calculus of Conditional Probabilities: The Cox Derivation

      The rules of probability, including those describing conditional probabilities, can be obtained using an elegant derivation by Cox [101] . The Cox derivation uses the rules of logic (Boolean algebra) and two simple assumptions. The first assumption is in terms of “b|a,” where b|a ≡ “likelihood” of proposition b when proposition a is known to be true. (The interpretation of “likelihood” as “probability” will fall out of the derivation.) The first assumption is that likelihood c‐and‐b|a is determined by a function of the likelihoods b|a and c|b‐and‐a:

      (Assumption 1) c‐and‐b|a = F(c|b‐and‐a, b|a),

      for some function F. Consistency with the Boolean algebra then restricts F such that (Assumption 1) reduces to:

      where f is a function of one variable and C is a constant. For the trivial choice of function and constant there is:

      which is the conventional rule for conditional probabilities (and c‐and‐b|a is rewritten as p(c,b|a), etc.). The second assumption relates the likelihoods of propositions b and ~b when the proposition a is known to be true:

      (Assumption 2) ~b|a = S(b|a),

      for some function S. Consistency with the Boolean algebra of propositions then forces two relations on S:

      which together can be solved to give:

where m is an arbitrary constant. For m = 1 we obtain the relation p(b|a) + p(~b|a) = 1, the ordinary rule for probabilities. In general, the conventions for Assumption 1 can be matched to those on Assumption 2, such that the likelihood relations reduce to the conventional relations on probabilities. Note: conditional probability relationships can be grouped:

      to obtain the classic Bayes Theorem.

      2.5.2 Bayes' Rule

      The derivation of Bayes’ rule is obtained from the property of conditional probability:

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