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An experiment often consists of more than a single step. In this case, measurements at each step give rise to uncertainty. Because the measurements occur in successive steps, the uncertainty in one step necessarily contributes to that in the subsequent step. As we perform statistical analysis on these types of experiments, we must learn to account for the propagation of uncertainty from one step to the next. The propagation of uncertainty depends on the type of arithmetic operation performed on...
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Summary
This summary is machine-generated.

Bayesian statistics and machine learning now prioritize prediction over inference. This study shows uncertainty, like credible intervals, stems from prediction, offering new insights into predictive efficiency and learning rules.

Keywords:
Bayesian predictionalmost sure conditional convergenceapproximation of Bayesian proceduresasymptotic normalitycredible intervalsmartingales

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Area of Science:

  • Statistics
  • Machine Learning
  • Bayesian Inference

Background:

  • Prediction is central to Bayesian statistics and machine learning, shifting focus from traditional inference.
  • Exchangeability in the Bayesian approach frames uncertainty through prediction.

Purpose of the Study:

  • To demonstrate how posterior distributions and credible intervals in Bayesian statistics can be understood via prediction.
  • To explore the relationship between predictive rules, learning, and frequentist coverage.

Main Methods:

  • Analyzing the posterior law's relationship to the predictive distribution.
  • Proving the marginal asymptotic Gaussianity of the posterior distribution.
  • Investigating the role of predictive updates in incorporating new observations.

Main Results:

  • The posterior distribution is centered on the predictive distribution.
  • Asymptotic variance depends on predictive updates, detailing how information is incorporated.
  • Credible intervals can be derived solely from the predictive rule, independent of specific models or priors.

Conclusions:

  • Uncertainty in Bayesian statistics is fundamentally linked to prediction.
  • This perspective offers insights into frequentist coverage and predictive learning.
  • Introduces the concept of predictive efficiency, suggesting avenues for future research.