Bayesian stats: how to update probability?

mercredi 17 septembre 2014

I am trying to use Bayesian methods (Bayes rule) to predict further datapoints (at point n,n+1,n+2 etc..)...



I begin by generating a normal pdf using previous 75 datapoints (prior: n-75 to n-1) with mean value, μ: 1.25 and standard deviation, δ: 3.67.



Note: previous datapoints range from -5 to +5 in value.



I calculate the maximum probabilty of 0.11 for datapoint = 1.30.



Using this will underestimate (predict) the value at n.



I now want to incorporate (into the probability) the fact that I know my previous two datapoints (n-2 to n-1) showed increase towards +ve...





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