STAT 7330 Decision Theory and Bayesian Analysis

STAT 7330 Decision Theory and Bayesian Inference

MW 600 pm - 815 pm in JO 3.516.


Instructor: Dr. Michael Baron
Office: ECSN 3.912
Phone: 972-UTD-6874
Text: James O. Berger. Statistical Decision Theory and Bayesian Analysis,
2nd edition, Springer-Verlag, 2010 (paperback)
or 2nd edition, Springer-Verlag, 1985,
or 3rd edition (corrected), 1993.

The 2010 World Meeting of the International Society for Bayesian Analysis has just concluded in Valencia, Spain. This is the largest regular convention on Bayesian Statistics.

Here is a link to conference presentations as well as proceedings and papers from earlier meetings

These meetings are organized by The International Society for Bayesian Analysis

Tentative Schedule

Week Topics Chapters
1 Introduction and philosophy. Loss function and risk. 1; 2; 4.1
2 Bayes rule, minimax rule, admissibility.  
3 Prior and posterior. Conjugate families. 3; 4.1, 4.2
  Generalized Bayes rules.  
4-5 Bayesian estimation and hypothesis testing. 4.3, 4.4
6 Empirical Bayes rules 4.5
  MIDTERM EXAM 1-4.4
7 Hierarchical Bayes analysis. Bayesian robustness. 4.6, 4.7
8 Admissibility of Bayes rules. Bayesian calculation. 4.8, 4.9
9 Game theory and the minimax theorem. 5
FINAL EXAM 4-7

Prerequisites: STAT 5351-5352 (Probability and Mathematical Statistics) and either STAT 6331 (Statistical Inference) or STAT 6338 (Advanced Statistical Methods II).