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Updating Probabilities with Data and Moments

Abstract

We use the method of Maximum (relative) Entropy to process information in the form of observed data and moment constraints. The generic "canonical" form of the posterior distribution for the problem of simultaneous updating with data and moments is obtained. We discuss the general problem of non-commuting constraints, when they should be processed sequentially and when simultaneously. As an illustration, the multinomial example of die tosses is solved in detail for two superficially similar but actually very different problems.Comment: Presented at the 27th International Workshop on Bayesian Inference and Maximum Entropy Methods in Science and Engineering, Saratoga Springs, NY, July 8-13, 2007. 10 pages, 1 figure V2 has a small typo in the end of the appendix that was fixed. aj=mj+1 is now aj=m(k-j)+

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    Last time updated on 02/01/2020
    Last time updated on 01/04/2019