高斯-伽玛分布（Gaussian-Gamma Distribution）：在均值和方差都未知时的贝叶斯推断 （中英双语）

高斯-伽玛分布：在均值和方差都未知时的贝叶斯推断

在机器学习和统计学中，当我们处理数据时，往往假设数据符合某个已知分布（如正态分布）。通常情况下，我们会假定正态分布的均值（µ）和方差（σ²）是已知的。然而，在实际应用中，我们常常无法知道这些参数的精确值。因此，我们需要通过贝叶斯推断的方法来估计这些参数，这时，高斯-伽玛分布（Gaussian-Gamma Distribution）成为了一个非常有用的工具。

背景与贝叶斯推断

在贝叶斯推断中，我们通过先验分布、似然函数和后验分布来更新对模型参数的信念。对于高斯分布来说，我们通常需要估计两个参数：均值 µ 和方差 σ²。在一些情况下，均值和方差都是未知的，我们希望通过观测数据来推断这些未知的参数。

1. 高斯分布的似然函数

假设我们有一组独立同分布的数据 ( $x_1,x_2,...,x_n$ )，并且假设这些数据来自一个均值为 µ，方差为 σ² 的正态分布。我们可以表示出其似然函数：

$$p(x|\mu ,{\sigma }^2)=\prod _{i=1}^n\frac{1}{\sqrt{2\pi {\sigma }^2}}\exp \left(-\frac{(x_i-\mu {)}^2}{2{\sigma }^2}\right)$$

其中：

• ( $x_i$ ) 是观测数据
• ( $\mu$ ) 是均值
• ( ${\sigma }^2$ ) 是方差

此时，我们的目标是根据这些观测数据估计未知的参数 µ 和 σ²。

2. 高斯-伽玛分布的先验分布

为了进行贝叶斯推断，我们需要选择合适的先验分布。在许多情况下，选择与似然函数共轭的先验分布可以使计算变得更加简便。在这里，若我们想同时推断均值 µ 和方差 σ²，我们可以选择共轭先验分布：即高斯-伽玛分布。

• 均值的先验：对于均值 µ，通常假设其具有一个正态先验分布，即：

$$p(\mu |{\sigma }^2)\sim \mathcal{N}({\mu }_0,{\sigma }_0^2)$$

其中，( ${\mu }_0$ ) 是均值的先验期望，( ${\sigma }_0^2$ ) 是均值的先验方差。

• 方差的先验：对于方差 σ²，通常假设其具有伽玛先验分布，即：

$$p({\sigma }^2)\sim \text{Gamma}({\alpha }_0,{\beta }_0)$$

其中，( ${\alpha }_0$ ) 是伽玛分布的形状参数，( ${\beta }_0$ ) 是伽玛分布的尺度参数。

这两种先验分布结合起来形成了高斯-伽玛分布的先验：均值服从正态分布，方差服从伽玛分布。

3. 高斯-伽玛分布的后验分布

在贝叶斯推断中，我们的目标是根据观测数据更新模型的参数，从而得到后验分布。根据贝叶斯定理，后验分布与似然函数和先验分布的乘积成正比：

$$p(\mu ,{\sigma }^2|x)\propto p(x|\mu ,{\sigma }^2)p(\mu |{\sigma }^2)p({\sigma }^2)$$

将正态分布的似然函数和高斯-伽玛分布的先验代入上式，我们得到后验分布。这一后验分布也属于高斯-伽玛分布，并且我们可以通过一些标准的推导得到其具体形式。

具体而言，给定数据 ( $x_1,x_2,...,x_n$ )，后验分布的均值和方差可以通过以下公式来更新：

$${\mu }_{\text{post}}=\frac{n\bar{x}{\sigma }_0^2+{\mu }_0{\sigma }^2}{n{\sigma }_0^2+{\sigma }^2}$$

$${\sigma }_{\text{post}}^2=\frac{1}{\frac{n}{{\sigma }^2}+\frac{1}{{\sigma }_0^2}}$$

其中：

• ( $\bar{x}$ ) 是观测数据的均值
• ( $n$ ) 是数据点的数量
• ( ${\mu }_0$ ) 和 ( ${\sigma }_0^2$ ) 是均值的先验期望和方差
• ( ${\alpha }_0$ ) 和 ( ${\beta }_0$ ) 是伽玛分布的形状参数和尺度参数

高斯-伽玛分布的实际应用

例子：通过高斯-伽玛分布进行数据建模

假设我们有一组观测数据，来自于一个正态分布，但我们对其均值和方差都不了解。我们可以使用高斯-伽玛分布来进行贝叶斯推断，从而估计这两个参数。

1. 定义先验分布：我们假设均值 ( $\mu$ ) 的先验分布为 ( $\mathcal{N}(0,1)$ )，方差 ( ${\sigma }^2$ ) 的先验分布为 ( $\text{Gamma}(1,1)$ )。

2. 计算后验分布：通过观测数据，我们可以更新后验分布，得到对均值和方差的估计。

3. 进行预测：一旦我们得到了后验分布，我们就可以根据这些参数进行新的预测，或者计算模型的不确定性。

总结

高斯-伽玛分布是一个非常强大的贝叶斯推断工具，适用于在均值和方差都未知的情况下进行推断。通过选择适当的先验分布，我们可以将正态分布与伽玛分布结合，从而获得关于模型参数的后验分布。这使得我们能够在许多实际问题中，尤其是复杂的统计建模和机器学习任务中，进行更为精准的推断。

在处理实际数据时，利用高斯-伽玛分布进行贝叶斯推断能够帮助我们理解参数的不确定性，从而做出更合理的决策。在很多实际场景中，尤其是数据分布不完全已知时，高斯-伽玛分布都能发挥出重要的作用。

英文版

Gaussian-Gamma Distribution: Bayesian Inference with Unknown Mean and Variance

In machine learning and statistics, when we deal with data, we often assume that the data follows a known distribution, such as a normal distribution. Typically, we assume that the mean (µ) and variance (σ²) of a normal distribution are known. However, in practical applications, we often do not know the exact values of these parameters. In such cases, we need to estimate these unknown parameters through Bayesian inference. The Gaussian-Gamma Distribution becomes a very useful tool in this context.

Background and Bayesian Inference

In Bayesian inference, we update our beliefs about the model parameters using prior distributions, likelihood functions, and posterior distributions. For a Gaussian (normal) distribution, we typically need to estimate two parameters: the mean µ and the variance σ². In some cases, both the mean and the variance are unknown, and we want to infer these parameters from observed data.

1. Likelihood Function of a Gaussian Distribution

Suppose we have a set of independent and identically distributed (i.i.d.) data points ( $x_1,x_2,...,x_n$ ), and assume these data come from a normal distribution with mean µ and variance σ². The likelihood function can be written as:

$$p(x|\mu ,{\sigma }^2)=\prod _{i=1}^n\frac{1}{\sqrt{2\pi {\sigma }^2}}\exp \left(-\frac{(x_i-\mu {)}^2}{2{\sigma }^2}\right)$$

Where:

• ( $x_i$ ) are the observed data points.
• ( $\mu$ ) is the mean.
• ( ${\sigma }^2$ ) is the variance.

Our goal is to estimate the unknown parameters µ and σ² from these observed data points.

2. Gaussian-Gamma Prior Distributions

In order to perform Bayesian inference, we need to choose appropriate prior distributions. In many cases, it is convenient to choose conjugate priors for the likelihood function, which makes the calculations more tractable. For simultaneously inferring both the mean µ and variance σ², we can use the conjugate prior distribution: the Gaussian-Gamma distribution.

• Prior for the mean: For the mean µ, we typically assume a normal prior distribution, i.e.,

$$p(\mu |{\sigma }^2)\sim \mathcal{N}({\mu }_0,{\sigma }_0^2)$$

Where ( ${\mu }_0$ ) is the prior expectation for the mean, and ( ${\sigma }_0^2$ ) is the prior variance.

• Prior for the variance: For the variance σ², we typically assume a Gamma prior distribution, i.e.,

$$p({\sigma }^2)\sim \text{Gamma}({\alpha }_0,{\beta }_0)$$

Where ( ${\alpha }_0$ ) is the shape parameter and ( ${\beta }_0$ ) is the scale parameter of the Gamma distribution.

These two prior distributions combine to form the Gaussian-Gamma distribution, where the mean follows a normal distribution and the variance follows a Gamma distribution.

3. Posterior Distribution of the Gaussian-Gamma Model

In Bayesian inference, our goal is to update our parameters based on the observed data to obtain the posterior distribution. According to Bayes’ theorem, the posterior distribution is proportional to the product of the likelihood function and the prior distributions:
$$p(\mu ,{\sigma }^2|x)\propto p(x|\mu ,{\sigma }^2)p(\mu |{\sigma }^2)p({\sigma }^2)$$

By substituting the normal likelihood function and the Gaussian-Gamma prior distributions into this formula, we can derive the posterior distribution. The posterior distribution also follows a Gaussian-Gamma form, and the exact form can be obtained through algebraic manipulation.

In particular, given the data ( $x_1,x_2,...,x_n$ ), the posterior distributions for the mean and variance are updated as follows:

$${\mu }_{\text{post}}=\frac{n\bar{x}{\sigma }_0^2+{\mu }_0{\sigma }^2}{n{\sigma }_0^2+{\sigma }^2}$$

$${\sigma }_{\text{post}}^2=\frac{1}{\frac{n}{{\sigma }^2}+\frac{1}{{\sigma }_0^2}}$$

Where:

• ( $\bar{x}$ ) is the sample mean of the observed data.
• ( $n$ ) is the number of data points.
• ( ${\mu }_0$ ) and ( ${\sigma }_0^2$ ) are the prior expectation and variance for the mean.
• ( ${\alpha }_0$ ) and ( ${\beta }_0$ ) are the shape and scale parameters of the Gamma distribution.

Practical Applications of the Gaussian-Gamma Distribution

Example: Data Modeling Using the Gaussian-Gamma Distribution

Let’s assume we have a set of observed data that we believe follows a normal distribution, but we don’t know the true mean and variance. We can use the Gaussian-Gamma distribution to perform Bayesian inference and estimate these parameters.

1. Define the Prior Distributions: We assume that the mean ( $\mu$ ) follows a normal prior with expectation 0 and variance 1, and the variance ( ${\sigma }^2$ ) follows a Gamma prior with shape 1 and scale 1.

2. Compute the Posterior Distribution: Given the observed data, we can update the posterior distributions for the mean and variance.

3. Make Predictions: Once we have the posterior distributions, we can make predictions based on the estimated parameters or compute the uncertainty in our model.

Conclusion

The Gaussian-Gamma distribution is a powerful tool for performing Bayesian inference when both the mean and variance are unknown. By choosing appropriate prior distributions, we can combine the normal distribution for the mean and the Gamma distribution for the variance to form the Gaussian-Gamma prior. This allows us to estimate the parameters of a Gaussian distribution and make predictions with uncertainty, even when both the mean and variance are unknown.

In real-world applications, using the Gaussian-Gamma distribution for Bayesian inference helps us understand the uncertainty in the parameters and make more informed decisions. It is especially useful in situations where the data distribution is not fully known, or when we want to incorporate prior beliefs about the parameters.

后记

2024年11月30日17点55分于上海，在GPT4o大模型辅助下完成。