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Inversion of Bayes formula and measures of Bayesian information gain and pairwise dependence

Ng, K.W. and Tong, Howell (2011) Inversion of Bayes formula and measures of Bayesian information gain and pairwise dependence. Statistics and Its Interface, 4 (1). pp. 95-103. ISSN 1938-7997

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Abstract

By inverting the Bayes formula in a point-wise manner, we develop measures quantifying the information gained by the Bayesian process, in reference to the Fisher information. Simple examples are used for focused illustrations of the ideas. Numerical computation for the measures is discussed with formulae. By extending the information gain concept to the broader context of distribution theory, we arrive at a pairwise dependence measure, which can handle the case of functional dependence and becomes Pearson's phi(2) when the joint probability density function is defined.

Item Type: Article
Official URL: http://www.intlpress.com/SII/
Additional Information: © 2011 International Press
Library of Congress subject classification: H Social Sciences > HA Statistics
Q Science > QA Mathematics
Sets: Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 15 Apr 2011 13:53
URL: http://eprints.lse.ac.uk/35495/

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