Fabio Sigrist: Catalogue data in Autumn Semester 2019

Name Dr. Fabio Sigrist
Address
Professur für Statistik
ETH Zürich, HG G 24.2
Rämistrasse 101
8092 Zürich
SWITZERLAND
Telephone+41 44 632 41 03
E-mailfabio.sigrist@stat.math.ethz.ch
DepartmentMathematics
RelationshipLecturer

NumberTitleECTSHoursLecturers
401-3628-14LBayesian Statistics4 credits2VF. Sigrist
AbstractIntroduction to the Bayesian approach to statistics: decision theory, prior distributions, hierarchical Bayes models, empirical Bayes, Bayesian tests and model selection, empirical Bayes, Laplace approximation, Monte Carlo and Markov chain Monte Carlo methods.
ObjectiveStudents understand the conceptual ideas behind Bayesian statistics and are familiar with common techniques used in Bayesian data analysis.
ContentTopics that we will discuss are:

Difference between the frequentist and Bayesian approach (decision theory, principles), priors (conjugate priors, noninformative priors, Jeffreys prior), tests and model selection (Bayes factors, hyper-g priors for regression),hierarchical models and empirical Bayes methods, computational methods (Laplace approximation, Monte Carlo and Markov chain Monte Carlo methods)
Lecture notesA script will be available in English.
LiteratureChristian Robert, The Bayesian Choice, 2nd edition, Springer 2007.

A. Gelman et al., Bayesian Data Analysis, 3rd edition, Chapman & Hall (2013).

Additional references will be given in the course.
Prerequisites / NoticeFamiliarity with basic concepts of frequentist statistics and with basic concepts of probability theory (random variables, joint and conditional distributions, laws of large numbers and central limit theorem) will be assumed.