STAT 644: Advanced Bayesian Theory
Fall 2014
Instructor:
V. Roy
Office: 3415 Snedecor Hall
Phone: (515) 294-8701
Email: vroy@iastate.edu
Course Website: BlackBoard Learn
Lecture:
T/R 3:40-5:00 PM, Pearson 1105
Office Hours:
M/W 2:10 - 3:10 PM or by appointment
Prerequisites: Stat 544 and Stat 642
Textbooks and References:
For Bayes theory
An introduction to Bayesian analysis Theory and Methods by J.K. Ghosh, M. Delampady
and T. Samanta, Springer 2006 edition
Theory of Statistics by M. J. Schervish, Springer 1996 edition
Bayesian Theory by J. M. Bernardo and A. F. M. Smith, Wiley 2000 edition
For general state space Markov chain theory
Markov Chains and Stochastic Stability by S. P. Meyn and R. L. Tweedie,
Springer 1993 edition (Available at http://probability.ca/MT/)
Measure Theory and Probability Theory by K. B. Athreya and S. N. Lahiri,
Springer 2006 edition
Course Description: The course will generally cover the following topics:
Bayes Theory
Exchangeability, Parametric models
Consistency and asymptotic normality of posterior distributions, Posterior robustness
Selection of priors using formal rules
Improper priors and posterior propriety
Bayes factors, Model selection (Time Permitting)
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MCMC Theory
Irreducibility, Harris recurrence, Regeneration
Minorization, Drift, Ergodicity, Limit theorems
MCMC and techniques for speeding up convergence of certain MCMC algorithms
Grading: In-class participation (30 %), final project and presentation (70 %)
Disability Access: If a student has a disability that qualifies under the Americans
with Disabilities Act and Section 504 of the Rehabilitation Act and requires accommodations, he/she should contact the Student Disability Resources (SDR) office for
information on appropriate policies and procedures. SDR is located on the main floor
of the Student Services Building, Room 1076. Their phone number is 515-294-7220.
If you have a documented disability and anticipate needing accommodations in this
course, please contact me within the first two weeks of the semester. Please have SDR
complete a SAAR form verifying your disability and specifying the accommodations
you will need for this course. You will need to present this form to me.
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