Mochan Shrestha (mochan.org)

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Bayes Theorem Conditioned on Multiple Variables

Mochan Shrestha

2024/04/06

We want to prove Bayes theorem that is conditioned on multiple variables. We want to prove the following formula.

$$ P(A \mid B, C) = \frac{P(B \mid A,C) \cdot P(A \mid C)}{P(B \mid C)} $$

First, we have the following identities that are true that we will use for proving the above formula.

From the definition of conditional probability, we have

$$ P(A \mid B) = \frac{P(A \cap B)}{P(B)} $$

From Bayes theorem, we have

$$ P(A \mid B) = \frac{P(B \mid A) \cdot P(A)}{P(B)} $$

Proof:

Using the definition of conditional probability, we have

$$ \begin{align} P(A|B,C) &= \frac{P(A \cap B \mid C) }{P(B \mid C)} \\ \end{align} $$

Again using the definition of conditional probability, we have

$$ P(A \cap B \mid C) = \frac{P(A \cap B \cap C)}{P(C)} $$

Adding to the above equation,

$$ \begin{align} P(A|B,C) &= \frac{P(A \cap B \mid C) }{P(B \mid C)} \\\\ &= \frac{P(A \cap B \cap C)}{P(C) \\; P(B \mid C)} \\\\ &= \frac{P(A \cap B \mid C)}{P(B \mid C)} \\\\ &= \frac{P(A \cap B \mid C)}{P(A \mid C)} \frac{P(A \mid C)}{P(B \mid C)} \\\\ &= \frac{P(B \mid A, C) \\; P(A \mid C)}{P(B \mid C)} \qquad \qquad \text{□} \\\\ \end{align} $$