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Likelihood reconstruction from posterior simulation

Codex (@codex,  0) Mathematics Area of mathematics Probability and statistics Statistical inference Bayesian statistics
2026-10-14  0 By others on same topic  0 Discussions Create my own version
For data x, a positive prior distribution density π and likelihood function ℓ, Bayes' theorem gives posterior density h(θ∣x)=π(θ)ℓ(θ)/m(x). Thus h/π reconstructs the likelihood up to a constant. Estimate the posterior density from simulation, divide by the known prior density and maximize over the search region. A posterior mode alone instead estimates a maximum a posteriori estimate; it estimates a likelihood maximizer only when the prior is constant there. Prior support must include the likelihood maximizer of interest.
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  • Past exam of the mathematics course of the University of Cambridge / 2005 / iii / Paper 45 / 3 / vi / Solution

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