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fg2109
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Joined: June 22nd, 2010, 5:28 pm

Bayesian Forecasting

January 13th, 2011, 5:12 am

I am fuzzy on the details and would really appreciate someone who could give me a quick overview. let's say I have theoretically sound reasons for the prior I chose. Now what? what are the actual mechanics from here? according to what i have read; the posterior density is proportional to the likelihood function times the prior density.so, I have my prior density by assumption, and I find my likelihood function by ?? which method? Is finding the likelihood function the part where I have to use a numerical method in the case I don't have a conjugate prior which is analytically solvable?After someone enlightens me on the likelihood function, I multiply it to the density... and have something that's proportional to the posterior. how do I proceed from there?
 
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fg2109
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Joined: June 22nd, 2010, 5:28 pm

Bayesian Forecasting

January 13th, 2011, 5:29 am

by the way, let me know if there's something incredibly elementary I am missing so I can go read it and not waste your time.
 
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bojan
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Joined: August 8th, 2008, 5:35 am

Bayesian Forecasting

January 13th, 2011, 2:38 pm

Read "Probability Theory: The Logic of Science" by E. T. Jaynes