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| STAT0725-2 | Bayesian statistics
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| Duration : | 30h Th, 10h Pr, 20h Mon. WS |
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| Credits/ECTS : |
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| Holder(s) : | Philippe Lambert |
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| Language : | French language |
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| Course contents : | This course consists of about ten theoretical lectures related to Bayesian statistics.
After defining subjective probabilities, the basic principles underlying Bayesian inference are presented through the estimation of a proportion.
The same principles are used to compare proportions and rates. The estimation of a mean (variance) in a normal distribution is also studied when the variance (mean) is unknown.
Inference in multiparameter models is also tackled. The concepts of marginal and conditional posterior distributions, credible regions and predictive distributions are defined. It is first illustrated with the joint estimation of the mean and of the variance of a normal distribution. The comparison of two means of a normal distribution with known or unknown variance(s) is also tackled. A solution is obtained with the simulation of a random sample from the joint posterior distribution when the variances cannot be assumed equal. The multiple regression model and the ANOVA I model are also studied in a Bayesian framework.
The basic algorithms enabling to generate a random sample from the posterior distribution are presented as these are fundamental to make inference in complex models.
The course is concluded with a short introduction to hierarchical models. |
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| Course objective : | The goals of the course are:
- To present the basic principles and techniques in Bayesian statistics.
- To show that problems tackled in an ad-hoc way in a frequentist setting can be solved systematically in a Bayesian framework.
- To understand and to be able to use Monte Carlo algorithms to sample from a joint posterior.
- To show how problems difficult to solve in a frequentist setting can be solved in a Bayesian framework.
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| Prerequisites : | It is assumed that students have a basic training in probability, in inference and in the use of the statistics software R. |
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| Workshops : | Practicals will be organized to illustrate the concepts and techniques studied during the theoretical course. Some exercises will require the use of the R software and possibly of a more specialized software like WinBUGS. |
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| Organization : | The course is organized during the 2nd semester. |
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| Written notes : | The slides used during the course will be made available with the associated list of references. |
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| Assessment : | The assessement is made during an oral exam. Part of the questions will be based on a written report deposited by the start of the exam session. A student won't be allowed to take the exam if he/she did not transmit the above mentioned written report at the prescribed time and in the required format. |
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| Contacts : | Philippe LAMBERT, Institut des sciences humaines et sociales, Bât B31, local R.54, tél: 04/366.59.90, email: p.lambert@ulg.ac.be |
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