Bayesian Modelling in Practice An Introduction在实践中，引入贝叶斯模型.pptVIP

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Bayesian Modelling in Practice An Introduction在实践中，引入贝叶斯模型.ppt

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Bayesian Modelling in Practice An Introduction在实践中，引入贝叶斯模型.ppt

A Beginner’s Guide to Bayesian Modelling Peter England, PhD EMB GIRO 2002 Outline An easy one parameter problem A harder one parameter problem Problems with multiple parameters Modelling in WinBUGS Stochastic Claims Reserving Parameter uncertainty in DFA Bayesian Modelling: General Strategy Specify distribution for the data Specify prior distributions for the parameters Write down the joint distribution Collect terms in the parameters of interest Recognise the (conditional) posterior distribution? Yes: Estimate the parameters, or sample directly No: Sample using an appropriate scheme Forecasting: Recognise the predictive distribution? Yes: Estimate the parameters No: Simulate an observation from the data distribution, conditional on the simulated parameters A One Parameter Problem Data Sample [3,8,5,9,5,8,4,8,7,3] Distributed as a Poisson random variable? Use a Gamma prior for the mean of the Poisson Predicting a new observation? Negative Binomial predictive distribution Poisson Example 1 – Estimation Poisson Example 1 – Prediction One Parameter Problem: Simple Case We can recognise the posterior distribution of the parameter We can recognise the predictive distribution No simulation required (We can use simulation if we want to) Variability of a forecast Includes estimation variance and process variance Analytic solution: estimate the two components Bayesian solution: simulate the parameters, then simulate the forecast conditional on the parameters Main Features of Bayesian Analysis Focus is on distributions (of parameters or forecasts), not just point estimates The mode of posterior or predictive distributions is analogous to “maximum likelihood” in classical statistics One Parameter Problem:Harder Case Use a log link between the mean and the parameter, that is: Use a normal distribution for the prior What is the posterior distribution? How do we simulate from it? Poisson Example 2 – Estimation Poisson Example 2 Step 1: Use adaptive rejection sampling (