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arXiv · 1205.1488

A categorical foundation for Bayesian probability

Jared Culbertson·Kirk Sturtz
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Abstract

Given two measurable spaces $H$ and $D$ with countably generated $σ$-algebras, a perfect prior probability measure $P_H$ on $H$ and a sampling distribution $S: H \rightarrow D$, there is a corresponding inference map $I: D \rightarrow H$ which is unique up to a set of measure zero. Thus, given a data measurement $μ: 1 \rightarrow D$, a posterior probability $\widehat{P_H}= I \circ μ$ can be computed. This procedure is iterative: with each updated probability $P_H$, we obtain a new joint distribution which in turn yields a new inference map $I$ and the process repeats with each additional measurement. The main result uses an existence theorem for regular conditional probabilities by Faden, which holds in more generality than the setting of Polish spaces. This less stringent setting then allows for non-trivial decision rules (Eilenberg--Moore algebras) on finite (as well as non finite) spaces, and also provides for a common framework for decision theory and Bayesian probability.

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BibTeXRIS

Jared Culbertson, Kirk Sturtz. 2013-12-03. A categorical foundation for Bayesian probability. https://doi.org/10.1007/s10485-013-9324-9

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