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Title: Rigorizing and Extending the Cox-Jaynes Derivation of Probability: Implications for Statistical Practice
Authors: Alexander Terenin, David Draper
Categories: math.ST Statistics (stat.ME Methodology; stat.TH Theory)
Abstract: There have been three attempts to date to establish foundations for the
discipline of probability, namely the efforts of Kolmogorov (frequentist), de
Finetti (Bayesian: belief and betting odds) and RT Cox (Bayesian: reasonable
expectation)/ET Jaynes (Bayesian: optimal information processing). The original
"proof" of the validity of the Cox-Jaynes approach has been shown to be
incomplete, and attempts to date to remedy this situation are themselves not
entirely satisfactory. Here we offer a new axiomatization that both rigorizes
the Cox-Jaynes derivation of probability and extends it - from apparent
dependence on finite additivity to (1) countable additivity and (2) the ability
to simultaneously make uncountably many probability assertions in a
logically-internally-consistent manner - and we discuss the implications of
this work for statistical methodology and applications. This topic is sharply
relevant for statistical practice, because continuous expression of uncertainty
- for example, taking the set $\Theta$ of possible values of an unknown
$\theta$ to be $(0,1)$, or $\mathbb{R}$, or the space of all cumulative
distribution functions on $\mathbb{R}$ - is ubiquitous, but has not previously
been rigorously supported under at least one popular Bayesian axiomatization of
probability. The most important area of statistical methodology that our work
has now justified from a Cox-Jaynes perspective is Bayesian non-parametric
inference, a topic of fundamental importance in applied statistics. We present
two interesting foundational findings, one of which is that Kolmogorov's
probability function $\mathbb{P}_K (A)$ of the single argument A is isomorphic
to a version of the Cox-Jaynes two-argument probability map $\mathbb{P}_{CJ} (A
\mid B)$ in which Kolmogorov's B has been "hard-wired at the factory" to
coincide with his sample space $\Omega$, thus Kolmogorov is a special case of
Cox-Jaynes.
Owner: Alexander Terenin
Version 1: Thu, 23 Jul 2015 18:21:22 GMT