4
$\begingroup$

Suppose that $\theta \in \Theta=\{0,1\}$ such that $P(\theta = 0) = 0.1$. Let $X$ be a r.v such that, given $\theta=0$, $X \sim N(50,1)$ and given $\theta = 1$, $X \sim N(52,1)$. Show that the posteriori probability of $\theta=0$ is greater than the posteriori of $\theta = 1$ if and only if $$x < 51 - \frac{3}{2} \log(9)$$

My attempt Using bayes theorem

$$P(\theta = \theta|X)=\frac{P(X|\theta=\theta) P(\theta)}{\sum_\Theta P(X|\theta=\theta) P(\theta)}$$

We note that the denominator is common for both values of theta. Then we need to compare $$P(X|\theta=0) P(\theta=0) \text{ and } P(X|\theta=1) P(\theta=1)$$

$\Rightarrow P(X|\theta=0) P(\theta=0) > P(X|\theta=1) P(\theta=1) \iff 0.1 \frac{1}{\sqrt{2 \pi}} e^{\frac{-(x-50)^2}{2}} > 0.9 \frac{1}{\sqrt{2 \pi}} e^{\frac{-(x-52)^2}{2}}$

$\Rightarrow \frac{-(x-50)^2}{2} > \log(9) + \frac{-(x-52)^2}{2} \iff x^2 - 100x + 2500 < x^2 - 104x + 2704 - 2 \log(9) \iff x < 51 - \frac{1}{2} \log(9)$

I wonder if I am missing something, because I couldn't find out from where this 3 camed from.

Thanks!

$\endgroup$

1 Answer 1

4
$\begingroup$

As far as I am concerned you are right and that seems to be a typo.

grid <- seq(40,60,0.05)

posterior <- function(theta, x) {
  z = 0
  if(theta==0) { 
    z = 0.1 
    m = 50 
  } else if(theta==1) { 
    z = 0.9
    m = 52
  }
  return((dnorm(x, mean=m, sd=1)*z)/(dnorm(x ,mean=50,s d=1)*0.1 
          + dnorm(x, mean=52,s d=1)*0.9))
}

par(lwd=2)
plot(x=grid, y=posterior(theta=0,x=grid), type="l", 
     col="red3", ylab="Posterior Probability", xlab="")
lines(x=grid, y=posterior(theta=1, x=grid), col="steelblue")
abline(v=51-0.5*log(9), lty=2)
legend(x = 40, y=0.8, legend=c(expression(paste(theta, " = ", 0)),
                               expression(paste(theta, " = ", 1))), 
       col=c("red3", "steelblue"), lty=c(1,1), 
       lwd=c(2,2), bty= "n")
mtext(text = expression(paste("51 - 0.5 ", log(9))))

enter image description here

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Not the answer you're looking for? Browse other questions tagged or ask your own question.