Subjective probability

Bayesian probability is an interpretation of the concept of probability, in which, instead of frequency or propensity of some phenomenon, probability is interpreted as reasonable expectation representing a state of knowledge or as quantification of a personal belief.

The Bayesian interpretation of probability can be seen as an extension of propositional logic that enables reasoning with hypotheses, i.e., the propositions whose truth or falsity is uncertain. In the Bayesian view, a probability is assigned to a hypothesis, whereas under frequentist inference, a hypothesis is typically tested without being assigned a probability.

Bayesian probability belongs to the category of evidential probabilities; to evaluate the probability of a hypothesis, the Bayesian probabilist specifies some prior probability, which is then updated to a posterior probability in the light of new, relevant data (evidence). The Bayesian interpretation provides a standard set of procedures and formulae to perform this calculation.

The term Bayesian derives from the 18th century mathematician and theologian Thomas Bayes, who provided the first mathematical treatment of a non-trivial problem of Bayesian inference. Mathematician Pierre-Simon Laplace pioneered and popularised what is now called Bayesian probability.

Broadly speaking, there are two views on Bayesian probability that interpret the probability concept in different ways. According to the objectivist view, probability is a reasonable expectation that represents the state of knowledge, can be interpreted as an extension of logic, and its rules can be justified by Cox's theorem. According to the subjectivist view, probability quantifies a personal belief, and its rules can be justified by requirements of rationality and coherence following from the Dutch book argument or from the decision theory and de Finetti's theorem.

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