Bayesian Inference Tools in Python
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DirichletEstimation findDirichletPrior: update param comments Mar 9, 2016


Bayesian Inference Tools in Python

Our goal is, given the discrete outcomes of events, estimate the distribution of categories. Using gradient descent we can estimate the parameters of a dirchlet prior from past data that can be combined as a conjugate prior with the multinomial distribution to better estimate the likelihood of seeing an event of a given type in the future.

Conjugate Prior Tools: The main file is ./findDirichletPrior - you pipe in your counts (given in test.csv as an example) and the maximum-likelihood dirichlet comes out.

Some things to try on your terminal: cat test.csv | ./ -- This will find the priors for a test file

./flipCoins .7 1.2 | ./ -- This will generate a data set on the fly using dirichlet parameters .7 1.2 (feel free to change those) -- findDirichletPrior should come up with a good estimate of those numbers using only the coin flips

cat oneDoublesided.csv | ./ -- This is a sample of a case where findDirichletPrior won't give you a great result. This is because every -- coin in the input is fair except two coins: one is double sided heads, and the other tails. -- Dirichlet distributions cannot handle this trimodal data very well, but it'll end up giving a compromise solution

#Using the priors You can test the strength of your prior using the H parameter. Higher values for Beta will give lower probabilities.

python -H1,4,5 < /dev/null

gammaDistTools is not used. These functions will be used for a future gamma distribution estimations.