Chain rule (probability)

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In probability theory, the chain rule (also called the general product rule[1][2]) permits the calculation of any member of the joint distribution of a set of random variables using only conditional probabilities. The rule is useful in the study of Bayesian networks, which describe a probability distribution in terms of conditional probabilities.

Consider an indexed collection of random variables . To find the value of this member of the joint distribution, we can apply the definition of conditional probability to obtain:

Repeating this process with each final term creates the product:

With four variables, the chain rule produces this product of conditional probabilities:

This rule is illustrated in the following example. Urn 1 has 1 black ball and 2 white balls and Urn 2 has 1 black ball and 3 white balls. Suppose we pick an urn at random and then select a ball from that urn. Let event A be choosing the first urn: P(A) = P(~A) = 1/2. Let event B be the chance we choose a white ball. The chance of choosing a white ball, given that we've chosen the first urn, is P(B|A) = 2/3. Event A, B would be their intersection: choosing the first urn and a white ball from it. The probability can be found by the chain rule for probability: