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I've been reviewing Bayesian literature in an attempt to utilize Bayesian inference for hypothesis testing when I have very well established priors, but there's one thing I cannot get my head around:

Why is the normalizing constant unimportant in determining the posterior when using MCMC methods? I understand that the evidence does not depend upon the parameters due to integration, but how is your posterior a valid probability distribution if it does not integrate to one (which as I understand it is the function of the normalizing constant)? If it isn't a valid probability distribution (since it is merely proportional to likelihood X prior), then how is it useful?

I really need someone to explain this to me as if I were a 7 year old, or possibly a chimp of some sort because I'm having a terrible time understanding it.

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NOT all the MCMC methods avoid the need for the normalising constant. However, many of them do (such as the Metropolis-Hastings algorithm), since the iteration process is based on the ratio $R(\theta_1,\theta_2)=\dfrac{\pi(\theta_1\vert x)}{\pi(\theta_2\vert x)}$, where

$$\pi(\theta\vert x) = \dfrac{\pi(x\vert \theta)\pi(\theta)}{\int \pi(x\vert \theta)\pi(\theta) d\theta} = \dfrac{\pi(x\vert \theta)\pi(\theta)}{\pi(x)},$$

is the posterior distribution of $\theta$ given the sample $x$. Therefore, the normalising constant $\pi(x)$ in the denominator does not depend on $\theta$ and it cancels out when you calculate $R(\theta_1,\theta_2)$. This is

$$R(\theta_1,\theta_2)= \dfrac{\pi(x\vert \theta_1)\pi(\theta_1)}{\pi(x\vert \theta_2)\pi(\theta_2)},$$

which does not involve the normalising constant, only the likelihood $\pi(x\vert \theta)$ and the prior $\pi(\theta)$.

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When ignoring the probability of evidence, you obtain something, which is proportional to the proper posterior distribution.

In many situations you can easily normalize your improper (or unnormalized) posterior after calculating it.

This is, because once you have your result (e.g. a marginal over some random variable), it is easy to compute the normalizing constant by summation over the improper posterior values.

For example, if you obtain improper marginal probabilities 0.2 and 0.4 for some binary random variable, you can easily calculate the normalizing constant (0.6) and adjust to obtain the proper distribution with probabilities 1/3 and 2/3.

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  • $\begingroup$ the proper distribution has probabilities 0.2/0.6 = 1/3 and 0.4/0.6 = 2/3. $\endgroup$ – alekdimi Mar 14 at 16:50

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