How to prove the rule of succession without calculus?

218 Views Asked by At

According to the rule of succession, if we have a uniform prior over $[0,1]$ for the probability $p$ of a coin to show heads and it has shown heads in $s$ out of $n$ trials, then the probability for the next trial to yield heads is $\frac{s+1}{n+2}$. This is typically derived by integration (e.g. in the Wikipedia article linked to above), but it seems like it should have a more elegant proof not involving calculus, as in the case of Why are all subset sizes equiprobable if elements are independently included with probability uniform over $[0,1]$?

By the way, this would also yield a calculus-free proof that the Pólya urn models a coin with probability $p$ uniformly randomly chosen from $[0,1]$, since the balls drawn from the Pólya urn follow the rule of succession by construction.

1

There are 1 best solutions below

5
On BEST ANSWER

The same approach as in my answer to Why are all subset sizes equiprobable if elements are independently included with probability uniform over $[0,1]$? can be used. We choose the probability $p$ for the coin uniformly randomly from $[0,1]$, and then we simulate tossing this coin by choosing a number $r$ uniformly randomly from $[0,1]$, with the result heads if $r\lt p$. After $n$ trials, we’ve chosen $n+1$ numbers (including $p$) independently uniformly from $[0,1]$, and if $s$ of the trials yielded heads, the rank of $p$ among these $n+1$ numbers is $s+1$. For the next trial, we will again choose a number uniformly from $[0,1]$, and it has the same probability to be inserted into the order of the other $n+1$ numbers at any of the $n+2$ possible places. Of these, $s+1$ are below $p$, so the probability for it to be less than $p$ is $\frac{s+1}{n+2}$.