Foundation of the Bayesian Analysis
Slides
SlidesAnnotated13_11_23 (CodeBetaBinomial.m)
SlidesAnnotated15_11_23 (Normal-Inverse Gamma Derivations)
Further readings
The relationship between prior distribution and penalized regression is discussed in the following papers:
Park, Trevor, and George Casella (2008). "The Bayesian lasso." Journal of the American Statistical Association 103(482), 681-686.
An introduction to Bayesian nonparametrics is presented in:
Supplementary material
Decision Theory - further material - 1
References
[Ber01] Berger, J. O. (1985). Statistical Decision Theory and Bayesian Analysis. Springer Series in Statistics (Second ed.). Springer Verlag
[Koo07] Koop, G., Dale J. P., Tobias, J. L. (2007.) Bayesian Econometric Methods, Cambridge University Press
[Lan04] Lancaster, T. (2004). An Introduction to Modern Bayesian Econometrics, Blackwell Publishing
[Rob01] Robert, C. P. (2001). The Bayesian Choice – A Decision-Theoretic Motivation (second ed.). Springer Verlag
[PolWesHar94] Pole, A., West, M. and Harrison, P. J. (1994) Applied Bayesian Forecasting and Time Series Analysis, Chapman-Hall.
[WesHar97] West, M. and Harrison, P. J. (1997). Bayesian Forecasting and Dynamic Models, Springer-Verlag.
[CifReg96] De Finetti's contribution to probability and statistics
[AlnDec10] Al-Najjar, N. I., DeCastro, L. Subjective Probabilities