Embedded Files
Slides
Slides
Bayesian Choice (original slides)
Further readings
On prior distributions:
Coin Tossing 1, Coin Tossing 2
On model selection and test of hypotheses:
Bayesian LASSO, g-prior, Introduction to BMA
(MATLABlasso, MATLABlinearreg1, MATLABlinearreg2)
Hypothesis testing and non-local prior, BF functions
Fractional BF1, Fractional BF2
Supplementary material
Decision Theory - further material - 1
References
References
Statistics
[Ber01] Berger, J. O. (1985). Statistical Decision Theory and Bayesian Analysis. Springer Series in Statistics (Second ed.). Springer Verlag
[Rob01] Robert, C. P. (2001). The Bayesian Choice – A Decision-Theoretic Motivation (second ed.). Springer Verlag
[CifReg96] De Finetti's contribution to probability and statistics
[AlnDec10] Al-Najjar, N. I., DeCastro, L. Subjective Probabilities
Econometrics
[Cha19] Chan, J., Koop, G., Poirier, D. J., & Tobias, J. L. (2019). Bayesian Econometric Methods (2nd ed.). Cambridge: Cambridge University Press.
[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
[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.
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