Bayesian Inference

Tel Aviv University course number: 0365-4003-01

Class Hours, Spring Semester 2005:

Sundays 14:10-17:00 at 205 Orenstein

Course Content:

Topics:

1. Overview of statistical decision problems and Bayesian inference.
2. Maximum likelihood, incomplete data (EM), Maximum a-posteriori probability (MAP).
3. Single parameter models, with examples. Conjugate priors.
4. Gamma versus hyperbolic priors in financial volatility models.
5. Fusing priors. Methods and criticism.
6. Introduction to Bayesian non-parametric models.
7. Dirichlet and mixed Dirichlet models.
8. The Gibbs sampler and Markov-chain Monte Carlo (MCMC).
9. Bayesian treatment of competing risks in survival analysis.
10. 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