Quasi-Bayesian Analysis Using Imprecise Probability Assessments And The Generalized Bayes’ Rule

The generalized Bayes’ rule (GBR) can be used to conduct ‘quasi-Bayesian’ analyses when prior beliefs are represented by imprecise probability models. We describe a procedure for deriving coherent imprecise probability models when the event space consists of a finite set of mutually exclusive and exhaustive events. The procedure is based on Walley’s theory of upper and lower prevision and employs simple linear programming models. We then describe how these models can be updated using Cozman’s linear programming formulation of the GBR. Examples are provided to demonstrate how the GBR can be applied in practice. These examples also illustrate the effects of prior imprecision and prior-data conflict on the precision of the posterior probability distribution.

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