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The form of the conjugate prior can generally be determined by inspection of the probability density or probability mass function of a distribution. For example, consider a random variable which consists of the number of successes in Bernoulli trials with unknown probability of success in [0,1].
Geometric representation (Argand diagram) of and its conjugate ¯ in the complex plane. The complex conjugate is found by reflecting z {\displaystyle z} across the real axis. In mathematics , the complex conjugate of a complex number is the number with an equal real part and an imaginary part equal in magnitude but opposite in sign .
A Binomial distributed random variable X ~ B(n, p) can be considered as the sum of n Bernoulli distributed random variables. So the sum of two Binomial distributed random variables X ~ B(n, p) and Y ~ B(m, p) is equivalent to the sum of n + m Bernoulli distributed random variables, which means Z = X + Y ~ B(n + m, p). This can also be proven ...
In mathematics, the complex conjugate root theorem states that if P is a polynomial in one variable with real coefficients, and a + bi is a root of P with a and b being real numbers, then its complex conjugate a − bi is also a root of P. [1]
X is a beta-binomial random variable with parameters (n, α, β). Let p = α/(α + β) and suppose α + β is large, then X approximately has a binomial(n, p) distribution. If X is a binomial (n, p) random variable and if n is large and np is small then X approximately has a Poisson(np) distribution.
The Beta distribution is a conjugate distribution of the binomial distribution. This fact leads to an analytically tractable compound distribution where one can think of the p {\displaystyle p} parameter in the binomial distribution as being randomly drawn from a beta distribution.
The closely related inverse-gamma distribution is used as a conjugate prior for scale parameters, such as the variance of a normal distribution. If α is a positive integer, then the distribution represents an Erlang distribution; i.e., the sum of α independent exponentially distributed random variables, each of which has a mean of θ.
Consider the estimator of θ based on binomial sample x~b(θ,n) where θ denotes the probability for success. Assuming θ is distributed according to the conjugate prior, which in this case is the Beta distribution B(a,b), the posterior distribution is known to be B(a+x,b+n-x). Thus, the Bayes estimator under MSE is