Stat 260/CS 294
Bayesian Modeling and Inference
Prof. Michael Jordan
Monday and Wednesday, 10:30-12:00, 330 Evans
Spring 2009
Announcements
- 5/14: The solutions to Homeworks 4 and 5 have been posted.
- 4/22: For the week of May 4th, Sriram's office hours will be Tues, 5/5, from 9 to 10,
and the recitation section will be Mon, 5/4, 5:30-7:00.
- 4/21: Professor Jordan's office hours today will be from 4 to 5.
- 3/20: The solutions to Homework 3 have been posted.
- 3/19: The solutions to Homework 2 have been posted.
Topics
- Priors (conjugate, noninformative, reference)
- Hierarchical models, spatial models, longitudinal models,
dynamic models, survival models
- Testing
- Model choice
- Inference (importance sampling, MCMC, sequential Monte Carlo)
- Nonparametric models (Dirichlet processes, Gaussian processes,
neutral-to-the-right processes, completely random processes)
- Decision theory and frequentist perspectives (complete class
theorems, consistency, empirical Bayes)
- Experimental design
Prerequisites
- Stat 210A or Stat 241A/EECS 281A
Required Text
-
Robert, C., The Bayesian Choice (2nd Edition),
Springer, 2001.
[Amazon]
Supplemental Texts
-
Berger, J., Statistical Decision Theory and Bayesian Analysis
(2nd Edition), Springer, 1995.
-
Robert, C. and Casella, G., Monte Carlo Statistical Methods,
Springer, 1998.
-
Congdon, P., Bayesian Statistical Modelling,
Wiley, 2001.
-
Gelman, A. Carlin, J. Stern, H. and Rubin, D.,
Bayesian Data Analysis (2nd Edition),
Chapman & Hall, 2003.
Reading Assignments
- Jan. 26: Chap. 1 of Robert
- Feb. 2: Chap. 3 of Robert
- Feb. 16:
Bernardo, J. (2005).
Reference analysis,
Handbook of Statistics 25, Amsterdam: Elsevier, 17--90.
- Feb. 25: Chap. 5 of Robert
- Mar. 4:
Liang, F., Paulo, R., Molina, G., Clyde, M. and Berger, J. (2008),
Mixtures of g priors for Bayesian variable selection,
Journal of the American Statistical Association, 103, 410-423.
- Mar. 10: Chap. 10 of Robert (pp. 456-474)
- Mar. 17: Chap. 6 of Robert
- Apr. 13:
Cappe, O., Godsill, S., and Moulines, E.
An overview of existing
methods and recent advances in sequential Monte Carlo,
IEEE Proceedings, 95(5):899-924, 2007.
- Apr. 15:
Doucet, A., Lecture notes on
Importance sampling and sequential importance sampling, 2008.
- Apr. 15:
Doucet, A., Lecture notes on
Sequential importance sampling resampling, 2008.
- Apr. 22:
Berger, J.O. and Sellke, T. (1987),
Testing a point null hypothesis: The irreconcilability of
P values and evidence,
Journal of the American Statistical Association, 82, 112-122.
- Apr. 30: Dirichlet processes, Chinese restaurant processes and all that.
M. Jordan, 2005
-
Apr. 30:
Hierarchical Bayesian nonparametric models with applications.
Teh, Y. W. and Jordan, M. I.
In N. Hjort, C. Holmes, P. Mueller, and S. Walker (Eds.),
Bayesian Nonparametrics: Principles and Practice,
Cambridge, UK: Cambridge University Press, to appear.
- May 4:
Sethuraman, J. (1994),
A constructive definition of Dirichlet priors,
Statistica Sinica, 4, 639-650.
- May 6: Chap. 7 of Robert
- May 11:
Chaloner, K. and Verdinelli, I. (1995),
Bayesian experimental design: A review,
Statistical Science, 5, 273-304.
Staff Office Hours and Locations