trait PosteriorDistributions extends Distributions
This trait implements calculation of posterior distributions using Markov chain Monte-Carlo techniques.
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randomGenerator: RandomGenerator
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def
posterior[A, O](prior: Stochastic[A], observations: Seq[O], burnIn: Int = defaultSampleBurnIn, interval: Int = defaultSampleInterval)(likelihood: (A, O) ⇒ Prob): Stochastic[A]
Creates a random variable representing a posterior distribution.
Creates a random variable representing a posterior distribution.
The posterior distribution is built from a prior on the parameter to be inferred, observations, and a generative model of the observations given the parameter (the likelihood).
- A
the concrete type of the parameter
- O
the type of the observations
- prior
the prior distribution
- observations
the observations
- burnIn
the number of initial terms of the chain that are thrown away
- interval
the number of terms of the chain between two samples
- likelihood
a function giving the likelihood of an observation under a given model
- returns
a random variable representing a posterior distribution
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def
posteriorByLog[A, O](prior: Stochastic[A], observations: Seq[O], burnIn: Int = defaultSampleBurnIn, interval: Int = defaultSampleInterval)(logLikelihood: (A, O) ⇒ Double): Stochastic[A]
Creates a random variable representing a posterior distribution.
Creates a random variable representing a posterior distribution.
The posterior distribution is built from a prior on the parameter to be inferred, observations, and a generative model of the observations given the parameter (the likelihood).
- A
the concrete type of the parameter
- O
the type of the observations
- prior
the prior distribution
- observations
the observations
- burnIn
the number of initial terms of the chain that are thrown away
- interval
the number of terms of the chain between two samples
- logLikelihood
a function giving the log-likelihood of an observation under a given model
- returns
a random variable representing a posterior distribution
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