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Category Archives: Information
MaxEnt in Sivia
The book I most commonly recommend to physicists and astronomers who want an introduction to Bayesian Inference is “Data Analysis: A Bayesian Tutorial” by Sivia and Skilling. It’s a neat little book that presents things very clearly, perhaps with the exception … Continue reading
Posted in Inference, Information
2 Comments
Hard Integrals
The “evidence” or “marginal likelihood” integral, , is often considered hard to calculate. The most general method I know of is Nested Sampling, although sometimes other methods can outperform it if the shape of the likelihood function is kind to the method. However, … Continue reading
Entropic priors are okay (but you probably shouldn’t use them)
Right now I’m in Canberra for the MaxEnt2013 meeting. It’s been an interesting and highly idiosyncratic conference so far, although I’m a bit tired because the schedule is very packed. On Wednesday, John Skilling gave an interesting presentation criticising “entropic … Continue reading
The prior isn’t the only prior
One of my favorite pastimes is railing against certain word choices when they may imply things that aren’t true. An example of this is the usage of the word “prior” in Bayesian inference. If a quantity is unknown, then the prior describes how … Continue reading
Posted in Inference, Information
9 Comments
Stochastic
Here is a nice Ed Jaynes quote, from his article “Probability Theory as Logic”: “Then in studying probability theory, it was vaguely troubling to see reference to “gaussian random variables”, or “stochastic processes”, or “stationary time series”, or “disorder”, as if … Continue reading
Posted in Inference, Information
2 Comments
Data are Nuisance Parameters
In inference, the term “nuisance parameters” refers to some quantity you feel like you need to put in your model, but that you don’t actually care about. For example, you might be fitting some data with a straight line , … Continue reading
Posted in Entropy, Inference, Information
3 Comments