2 research outputs found
A categorical foundation for Bayesian probability
Given two measurable spaces and with countably generated
-algebras, a perfect prior probability measure on and a
sampling distribution , there is a corresponding inference
map which is unique up to a set of measure zero. Thus,
given a data measurement , a posterior probability
can be computed. This procedure is iterative: with
each updated probability , we obtain a new joint distribution which in
turn yields a new inference map and the process repeats with each
additional measurement. The main result uses an existence theorem for regular
conditional probabilities by Faden, which holds in more generality than the
setting of Polish spaces. This less stringent setting then allows for
non-trivial decision rules (Eilenberg--Moore algebras) on finite (as well as
non finite) spaces, and also provides for a common framework for decision
theory and Bayesian probability.Comment: 15 pages; revised setting to more clearly explain how to incorporate
perfect measures and the Giry monad; to appear in Applied Categorical
Structure