Drawing marbles from a box

bayes-theoremcombinatoricsestimationexpected valueprobability

Say we're drawing marbles from a box. The marbles can be labeled X, Y, or Z and can be either black, brown, or white. The probability of drawing a marble with each letter label is unknown but fixed and marbles are replaced after each draw.

A marble labeled X is half as likely to be brown as the other colors. A marble labeled Y is half as likely to be black as the other colors. A marble labeled Z is half as likely to be white as the other colors.

Say on our twentieth draw from the box you see a black Y for the first time.

Question I came up with: What is the best estimate for the probability of drawing a marble labeled Y from the box?

Best Answer

Let's start with the colors:

A marble labeled Y is half as likely to be black as the other colors.

(The other labels aren't relevant to your question)

This means that if the probability of a Y marble being colored black is $P_{black}$ then we are given that $P_{black} = \frac{P_{white}}{2} = \frac{P_{brown}}{2}$ Since these values sum to 1: $P_{black} = .2$

Using this information most of the stuff is unnecessary. All we need to know is that whatever .2Y is it took 20 tries to achieve it. We can use a beta distribution to model this situation since it is the conjugate prior probability distribution to the geometric distribution.

In our case: $ \alpha =2$ and $\beta =20$ since there was 1 event and 19 failures. Then the graph of the distribution looks like this:enter image description here

The y-value at x represents the probability that x is the probability of the event in our scenario. So assuming the probability distribution of the probability is uniformly randomly distributed aside from the information given, then the point where y is maximized in this distribution between 0 and 1 gives the expected value of $\mathbb P(.2Y)$ which is $\frac{1}{20}$ in this case. (Intuitively it makes sense for the probability of it taking 20 tries for something to happen to be 1 in 20). Finally this gives $\mathbb P(Y) = .25$ or $\frac{1}{4}$.

The advantage of using the beta distribution here is we get to see the probability of $\mathbb P(Y) $ being a different value. For example if we wanted to know the probability of it being .2 it would be about .0576