2 ms·
The key background here that is somewhat brushed over in the post is that the Beta distribution is conjugate to the Binomial - in the sense that if your paramet
by ajtulloch 12y ago
The key background here that is somewhat brushed over in the post is that the Beta distribution is conjugate to the Binomial - in the sense that if your parameter of interest theta has a Beta(a, b) prior, and you observe n successes and r failures from a Binomial trial with parameter(n, theta), your posterior is now Beta(a + n, b + r).
The 'non-informative' distribution can be interpreted as having no special information about the prior information of theta, so you just take theta uniform over [0, 1]. This is identical to the Beta(1, 1) distribution. Thus, you obtain the update equations @EvanMiller derived, while making it more clear how to generalize to the informative prior case.
In general though, I would have thought one would care more about distributional properties of the posterior p_B - p_A, which are more easily computed by MC methods - the closed form solution for P(p_B > p_A) is nice and fast, but it's not like hypothesis testing is in the critical path of a program, so I wouldn't shy away from MC methods here for a more nuanced view of your posteriors.