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This document discusses maximum a posteriori (MAP) estimation. It defines MAP estimation as choosing the value of an unknown quantity that maximizes the posterior probability distribution function or mass function. The document explains that the MAP estimate is found by determining the value of the random variable that maximizes the posterior probability density function given an observation. It also outlines the steps for computing the MAP estimate, which involves finding the value of the parameter that maximizes the posterior probability distribution given the observed data.

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Anand K
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28 views9 pages

0 Maximum Beamer

This document discusses maximum a posteriori (MAP) estimation. It defines MAP estimation as choosing the value of an unknown quantity that maximizes the posterior probability distribution function or mass function. The document explains that the MAP estimate is found by determining the value of the random variable that maximizes the posterior probability density function given an observation. It also outlines the steps for computing the MAP estimate, which involves finding the value of the parameter that maximizes the posterior probability distribution given the observed data.

Uploaded by

Anand K
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Maximum A Posteriori Estimation

Anand K [4GL14EC002]

Government Engineering College,


Kushalnagar-571234

September 7, 2019

Anand K [4GL14EC002] Maximum A Posteriori Estimation


Outline

1 Probability Density Function


2 Maximum A Posteriori Estimation

Anand K [4GL14EC002] Maximum A Posteriori Estimation


Probability Density Function

Definition
Probability density function is a statistical expression that
defines a probability distribution for a continuous random variable.
 2

f(x) = √ 1 2 exp −(x−µ)2σ 2
2πσ

Conditions :
1 f(x)≥0
+∞
R
2 f(x)dx=1
−∞

Anand K [4GL14EC002] Maximum A Posteriori Estimation


Maximum A Posteriori Estimation

Definition
In Bayesian statistics, a maximum a posteriori probability (MAP)
estimate is an estimate of an unknown quantity, that equals the
mode of the posterior distribution.

1 The posterior distribution, fX |Y (x|y ) contains all


the knowledge about the unknown quantity X.
2 Therefore, we can use the posterior distribution
to find point or interval estimates of X.
3 One way to obtain a point estimate is to choose
the value of x that maximizes the posterior PDF
(or PMF). This is called the maximum a
posteriori (MAP) estimation.
Anand K [4GL14EC002] Maximum A Posteriori Estimation
MAP Estimation

The MAP estimate of the random variable X, given


that we have observed Y = y, is given by the value
of x that maximizes

fX |Y (x|y ) if X is a continuous random variable,


PX |Y (x|y ) if X is a discrete random variable,

Λ
The MAP estimate is shown by x
MAP

Anand K [4GL14EC002] Maximum A Posteriori Estimation


MAP Estimation

To find the MAP estimate, we need to find the


value of x that maximizes,
fY |X (y |x)fX (x)
fX |Y (x|y ) = fY (y )

Note that fY (y ) does not depend on the value of x.


Therefore, we can equivalently find the value of x
that maximizes,

fY |X (y |x)fX (x)

Anand K [4GL14EC002] Maximum A Posteriori Estimation


MAP Estimation

1 Given data
D = (x1 , .................., xn ) where xi ∈ Rd
2 Assume a joint distribution P(D|θ)
3 Compute the maximum of P(θ|D)
4 From Bayes theorem
P(D|θ)P(θ)
P(θ|D) = P(D)
5 The method
Λ
θ = argmax P(θ|D)
MAP θ

Anand K [4GL14EC002] Maximum A Posteriori Estimation


Anand K [4GL14EC002] Maximum A Posteriori Estimation
Thank You All

Anand K [4GL14EC002] Maximum A Posteriori Estimation

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