Posterior for a coin whose bias is uniform
Question
The probability that a coin lands heads is itself random, drawn from a uniform distribution on . (a) After one toss that comes up heads, what is the posterior distribution of the heads probability? (b) What is it after observing heads in tosses?
Short answer
(a) Beta, density ; (b) Beta. The uniform prior is Beta and the binomial likelihood is conjugate, so each head adds one to the first parameter and each tail one to the second. In (b) the posterior mean is with standard deviation about , so it is close to normal around .
Adapted from Crack, Heard on the Street, Q4.25, p.42; question and answer rewritten by SelfMadeQuant.com.
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Open the worked solutionLessons behind this question
- Prior, Likelihood, and Posterior
- Conditional Probability, Total Probability, and Bayes' Rule
- Worked Examples — Probability Trees, Monty Hall, and Bayesian Updating
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