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[英语学习]Bayesian methods
3
Bayesian methods
This chapter develops the key ideas in the Bayesian approach to inference. Fundamental
ideas are described in Section 3.1. The key conceptual point is the way that the prior
distribution on the unknown parameter θ is updated, on observing the realised value of the
data x , to the posterior distribution, via Bayes’ law. Inference about θ is then extracted
from this posterior. In Section 3.2 we revisit decision theory, to provide a characterisation
of the Bayes decision rule in terms of the posterior distribution. The remainder of the
chapter discusses various issues of importance in the implementation of Bayesian ideas.
Key issues that emerge, in particular in realistic data analytic examples, include the question
of choice of prior distribution and computational difficulties in summarising the posterior
distribution. Of particular importance, therefore, in practice are ideas of empirical Bayes
inference (Section 3.5), Monte Carlo techniques for application of Bayesian inference
(Section 3.7) and hierarchical modelling (Section 3.8). Elsewhere in the chapter we pro-
vide discussion of Stein’s paradox and the notion of shrinkage (Section 3.4). Though not
primarily a Bayesian problem, we shall see that the James–Stein estimator may be justified
(Section 3.5.1) as an empirical Bayes procedure, and the concept of shrinkage is central to
practical application of Bayesian thinking. We also provide here a discussion of predictive
inference (Section 3.9) from a Bayesian perspective, as well as a historical description of
the development of the Bayesian paradigm (Section 3.6).
3.1 Fundamental elements
In non-Bayesian, or classical, statistics X is random, with a density or probability mass
function given by f (x ; θ), but θ is treated as a fixed unknown parameter value.
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