A gentle Introduction to Bayesian Inference

In this article, we have seen the Bayesian approach in action with the help of a small example. It uses prior knowledge and updates it with observed data to create a posterior, exactly like humans intuitively do. This approach is better than discarding the data and just proceeding with some prior, obviously. It is even more powerful than the maximum likelihood method: you can see this by choosing a flat prior, i.e. the prior gives the same probability (or density) to every possible value θ and is essentially a constant. Furthermore, the Bayes method even gives you a distribution of the parameters, while the maximum likelihood method does not.