# Bayesian Inference

Isaac Meilijson
Department of Statistics and Operations Research
isaco@math.tau.ac.il
Office Hours: Wednesdays 15:10-16:00. 311 Schreiber.

+972-3-640-8826.

### Tel Aviv University course number: 0365-4003-01

### Class Hours,
Spring Semester 2005:

Sundays 14:10-17:00 at 205 Orenstein

### Course Content:

## Topics:

- Overview of statistical decision problems and Bayesian inference.
- Maximum likelihood, incomplete data (EM), Maximum
a-posteriori probability (MAP).
- Single parameter models, with examples. Conjugate priors.
- Gamma versus hyperbolic priors in financial volatility models.
- Fusing priors. Methods and criticism.
- Introduction to Bayesian non-parametric models.
- Dirichlet and mixed Dirichlet models.
- The Gibbs sampler and Markov-chain Monte Carlo (MCMC).
- Bayesian treatment of competing risks in survival analysis.
- Introduction to graphical models and Bayesian networks.

### Helpful references IN PREPARATION

- Gelman, A., Carlin, J.B., Stern, H. and Rubin, D.B.
Bayesian Data Analysis. Chapman & Hall 1995.

##### Last update: February 2005