<p>Say, we have a coin with an unknown probability of turning heads. Let <script type="math/tex; ">p</script> represent this probability. After <script type="math/tex; ">n + m</script> flips, we get <script type="math/tex; ">n</script> heads and <script type="math/tex; ">m</script> tails. We might want to estimate that <script type="math/tex; ">p = \frac{n}{n+m}</script>. However, this is unreliable, especially if <script type="math/tex; ">n+m</script> is small. We'd like to say something like this: <script type="math/tex; ">p</script> can also be more than, less than, or equal to <script type="math/tex; ">\frac{n}{n+m}</script>, the values further away from <script type="math/tex; ">\frac{n}{n+m}</script> having a smaller probability. And the higher the value of <script type="math/tex; ">n+m</script>, the higher the probability of <script type="math/tex; ">p</script> being <script type="math/tex; ">\frac{n}{n+m}</script>. The beta distribution allows you to do that.</p>
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