Bayesian: An overview

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  • Date: 26 Sep 2012

Thomas Bayes (1701-1761) was an English mathematician and he derived the theorem that bears his name:

'Bayesian Statistics offers a rationalist theory of personalistic beliefs in contexts of uncertainty, with the central aim of characterising how an individual should act in order to avoid certain kinds of undesirable behavioural inconsistencies. The
theory establishes that expected utility maximisation provides the basis for rational decision making and that Bayes' theorem provides the key to the ways in which beliefs should fit together in the light of changing evidence.The goal, in effect, is to establish rules and procedures for individuals concerned with disciplined uncertainty accounting. The theory is not descriptive, in the sense of claiming to model actual behaviour. Rather, it is prescriptive. in the sense of saying "if you wish to avoid the possibility of these undesirable consequences you must act in the following way".'

Taken from: José M. Bernardo and Adrian F. M. Smith, Bayesian Theory, 2008

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