“When you have eliminated the impossible, all that remains, no matter how improbable, must be the truth.”
– Sherlock Holmes (Arthur Conan Doyle)
For a long time Bayesian inference was something I understood without really understanding it. I only really got it it after reading Chapter 2 of John K. Kruschke’s textbook Doing Bayesian Data Analysis, where he describes Bayesian Inference as Reallocation of Credibility Across Possibilities
I now understand Bayesian Inference to be essentially Sherlock Holmes’ pithy statement about eliminating the impossible quoted above, taken to its mathematical conclusion.