Archive for Bill Bolstad

understanding computational Bayesian statistics: a reply from Bill Bolstad

Posted in Books, R, Statistics, University life with tags , , , , , , , , , , , , , on October 24, 2011 by xi'an

Bill Bolstad wrote a reply to my review of his book Understanding computational Bayesian statistics last week and here it is, unedited except for the first paragraph where he thanks me for the opportunity to respond, “so readers will see that the book has some good features beyond having a “nice cover”.” (!) I simply processed the Word document into an html output and put a Read More bar in the middle as it is fairly detailed. (As indicated at the beginning of my review, I am obviously biased on the topic: thus, I will not comment on the reply, lest we get into an infinite regress!)

The target audience for this book are upper division undergraduate students and first year graduate students in statistics whose prior statistical education has been mostly frequentist based. Many will have knowledge of Bayesian statistics at an introductory level similar to that in my first book, but some will have no previous Bayesian statistics course. Being self-contained, it will also be suitable for statistical practitioners without a background in Bayesian statistics.

The book aims to show that:

  1. Bayesian statistics makes different assumptions from frequentist statistics, and these differences lead to the advantages of the Bayesian approach.
  2. Finding the proportional posterior is easy, however finding the exact posterior distribution is difficult in practice, even numerically, especially for models with many parameters.
  3. Inferences can be based on a (random) sample from the posterior.
  4. There are methods for drawing samples from the incompletely known posterior.
  5. Direct reshaping methods become inefficient for models with large number of parameters.
  6. We can find a Markov chain that has the long-run distribution with the same shape as the posterior. A draw from this chain after it has run a long time can be considered a random draw from the posterior
  7. We have many choices in setting up a Markov chain Monte Carlo. The book shows the things that should be considered, and how problems can be detected from sample output from the chain.
  8. An independent Metropolis-Hastings chain with a suitable heavy-tailed candidate distribution will perform well, particularly for regression type models. The book shows all the details needed to set up such a chain.
  9. The Gibbs sampling algorithm is especially well suited for hierarchical models.

I am satisfied that the book has achieved the goals that I set out above. The title “Understanding Computational Bayesian Statistics” explains what this book is about. I want the reader (who has background in frequentist statistics) to understand how computational Bayesian statistics can be applied to models he/she is familiar with. I keep an up-to-date errata on the book website..The website also contains the computer software used in the book. This includes Minitab macros and R-functions. These were used because because they had good data analysis capabilities that could be used in conjunction with the simulations. The website also contains Fortran executables that are much faster for models containing more parameters, and WinBUGS code for the examples in the book. Continue reading

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