We are working with a sequence of independent binary events on a discrete
time-scale, say seconds, with success probability $\pi$
. Call this
sequence of events $X_{t}$
, $t=1\ldots$
. For instance, $X_{t}=1$
if it rains at second $t$
and $0$
otherwise. For each positive integer
$m$
, define the “for all”''"-type variable
$$ Y_{t}^{m}=\begin{cases} 1 & \text{if }X_{t(m-1)+1}=\cdots=X_{tm}=1,\\ 0 & \textrm{otherwise}. \end{cases} $$
For instance, the variable $Y_{t}^{60}=1$
if it rained during the
entirety of the the $t$
th minute. We can do the same thing for days,
with $m=86400$
, weeks ($m=7\times86400$
), and so on.
Each variable $Y_{t}^{m}$
has its own success probability $\pi^{m}$
,
with $P(X_{t}=1)=\pi$
being the most refined probability. Suppose
you choose an $m$
, such as $m=86400$
for daily data, and decide
on a uniform prior for $\pi^{m}$
. Then you can deduce the implied
prior for $u=\pi^{m'}$
, where $m'$
is another positive integer.
The induced prior is
\[ p(u)=(m/m')u^{m/m'-1}, \]
or a $Beta(m/m',1)$
prior, as can be seen from the following manipulation
\begin{eqnarray*} P(U\leq u) & = & P(\pi^{m\cdot m'/m}\leq u),\\ & = & P(\pi^{m}\leq u^{m/m'}),\\ & = & u^{m/m'}, \end{eqnarray*}
with the the derivative being the induced prior
\[ p(u)=(m/m')u^{m/m'-1}=(m/m')u^{m/m'-1}. \]
Then it is well known that the posterior $p(u\mid\{Y_{t}^{m}\})$
is beta distributed with parameters
\begin{eqnarray*} \alpha & = & S_{n}+m/m',\\ \beta & = & n-S_{n}+1, \end{eqnarray*}
where $S_{n}$
are the number of success in your data and $n$
is
the number of trials on the $m'$
scale.
Since the expectation of the a $Beta(\alpha,\beta)$
variable is $\alpha/(\alpha+\beta)$
,
it follows that
\[ E[Y_{n+1}=1]=\frac{\alpha}{\alpha+\beta}=\frac{S_{n}+m/m'}{n+1+m/m'}, \]
where $m$
is the original time scaling and $m'$
is the new time
scaling.
Rain example
Suppose our discrete time unit is seconds, and suppose it has rained
every second for the last week. Assume a uniform prior on the probability
for raining for a whole day. Then
\begin{eqnarray*} & & P(\text{rains next day}\mid\text{rained every day last week})\\ & = & \frac{7+1}{7+1+1}=\frac{8}{9}=0.888\ldots. \end{eqnarray*}
Calculating on the hour scale instead, we find that $m/m'=24$
, that
$S_{n}=24\cdot7$
and $n=24\cdot7$
\begin{eqnarray*} & & P(\text{rains next day}\mid\text{rained every day last week}),\\ & = & \int u^{24}f(u\mid S_{n}+24,n-S_{n}+1)du,\\ & = & \prod_{r=0}^{k-1}\frac{S_{n}+m/m'+r}{n+1+m/m'+r},\\ & = & \prod_{r=0}^{k-1}\frac{24\cdot8+r}{24\cdot8+1+r}. \end{eqnarray*}
By taking logarithms, one can show that
\[ \prod_{r=0}^{n-1}\frac{nm+r}{nm+1+r}=\frac{m}{m+1}, \]
for all $n,m$
, hence
\[ \prod_{r=0}^{k-1}\frac{24\cdot8+r}{24\cdot8+1+r}=\frac{8}{8+1}=0.888..., \]
and the probabilities match.
We can do the same exercise with minutes instead, where $m/m'=60^{2}\cdot24$
,
and $S_{n}=n$
are equal to $60^{2}\cdot24\cdot7$
,
\begin{eqnarray*} & & P(\text{rains next day}\mid\text{rained every day last week})\\ & = & \prod_{r=0}^{k-1}\frac{60^{2}\cdot24\cdot8+r}{60^{2}\cdot24\cdot8+1+r},\\ & \approx & 0.888.... \end{eqnarray*}