Past exam of the mathematics course of the University of Cambridge / 2018 / iii / Paper 216 / 6 / a

Let $h(\beta )=\Phi (x_{\mathrm{test}}^T\beta )$. To distinguish the number of posterior draws from the training-sample size, write it as $N$; in the question's sample notation $N=n$. The Monte Carlo estimator of the requested posterior mean isFor independent exact posterior draws it is unbiased, andThe features are conditioned on as fixed data. The estimated probability concerns a future genuine banknote under the posterior predictive probability, not an indicator sampled from that predictive distribution.