Posterior distribution of exponential prior and likelihood

bayesianprobabilitystatistics

I have the prior density function:

$$e^{-\theta} \text{ for } \theta > 0$$

and the likelihood function: $e^{\theta -x}$ for $x \geq \theta$

I have gotten the following in my attempt to derive the posterior distribution:

$$L(\theta) = \prod e^{\theta – x_i} = e^{n\theta}e^{-\sum x_i} \mathbb{I}_{\min X_i}$$

$$\pi(\theta \mid x) = \frac{ e^{-\sum x_i} e^{\theta(n-1)} \mathbb{I}_{\min X_i}}{e^{-\sum x_i}\int_0^{\min(x)}e^{n\theta}e^{-\theta} \, d\theta}$$

$$= \frac{e^{\theta(n-1)}\mathbb{I_{\min X_i}}}{\frac{1}{n-1}e^{\min(x)(n-1)} – \frac{1}{n-1}}$$

Is this correct? Does this further simplify, or is the posterior simply non-standard?

Best Answer

and the likelihood function: $e^{\theta-x}$ for $x≥θ$

First, this is not the likelihood but the Model Density.

You are almost there but I suggest you to approach Bayesian issue in a different way: do not worry about the posterior denominator... it is wasted time!

  • Prior:

$$\pi(\theta)=e^{-\theta}$$

$\theta>0$

  • Likelihood:

$$p(\mathbf{x}\mid\theta) = e^{-\sum_i x_i}\cdot e^{n \theta} \cdot \mathbb{1}_{[\theta;+\infty)}(x_{(1)})$$

  • Posterior (any element not depending on $\theta$ can be trown away, it will be part of the normalization constant)

$$\pi(\theta|\mathbf{x})=C\times p(\mathbf{x}\mid\theta)\times \pi(\theta)=C \times e^{\theta(n-1)}\cdot\mathbb{1}_{(0;x_{(1)}]}(\theta)$$

Where

$$C^{-1}=\int_0^{x_{(1)}}e^{\theta(n-1)}d \theta=\frac{e^{x_{(1)}(n-1)}-1}{n-1}$$

Observe that: When you deal with the posterior $x_1,x_2,...,x_n$ are only data, not anymore rv's


A real world example using this Statistical Model

According to the thinking of Cthulhu Cult's followers, adoring the "Great Ancients" (an ancient civilization come from the stars that lived on Earth before Homo Sapiens appeared) will grant a very long life to them. In particular, story goes about a group of followers dead at the age of

$$\{X_1=518;X_2=696;X_3=230;X_4=410;X_5=821\}$$

years old

Using these observations, Prior and Model specified above, derivate the posterior density of Cult Followers' lifetime and, further request with respect to your exercise, Verify the Hypothesis that the lifetime of the Cthulhu Cult's Members is greater than 200 years

$$\pi(\theta|\mathbf{x})=\frac{4 e^{4\theta}}{e^{920}-1}\mathbb{1}_{(0;230]}(\theta)$$

You can easy check that $\pi(\theta|\mathbf{x})$ is a nice density function. for the Hypothesis Testing, I leave it as an exercise, if this is part of your program...