Bayesian Statistics
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D.Heckerman
BayesianStatistics
Bayesianstatisticsreferstoanapproachtostatistical
inferencecharacterizedbytwokeyideas:(a)all
unknownquantities,includingparameters,aretreated
asrandomvariableswithprobabilitydistributions
usedtodescribethestateofknowledgeaboutthe
valuesoftheseunknowns,and(b)statisticalinferences
abouttheunknownquantitiesbasedonobserveddata
arederivedusingBayes’theorem(describedbelow).
TheBayesianapproachsharesmanyfeatureswiththe
traditionalfrequentistapproachtoinference(e.g.,the
useofparametricmodels,thatistosay,models
dependentonunknownparameters,fordescribing
data)butdiffersinitsrelianceonprobabilitydistri-
butionsforunknowns(includingtheparameters).Thetraditionalapproachtoinferencereliesontherepeated
samplingdistributionofthedataforafixedbut
unknownparametervalue,essentiallyaskingwhat
wouldhappenifmanynewsamplesweredrawn;the
Bayesianapproachtreatstheparameterasarandom
variableandassignsitaprobabilitydistribution.
Qualitatively,theBayesianapproachtoinference
beginswithaprobabilitydistributiondescribingthe
stateofknowledgeaboutunknownquantities(usually
parameters)beforecollectingdata,andthenuses
observeddatatoupdatethisdistribution.Inthis
articlethebasicelementsofaBayesiananalysisare
reviewed:modelspecification,calculationofthepos-
teriordistribution,modelchecking,andsensitivity
analysis.Additionalsectionsaddressthechoiceof
priordistribution,andtheapplicationofBayesian
methods.Additionaldetailsaboutmostofthetopics
inthisarticlecanbefoundinthebooksbyO’Hagan
(1994),Gelman(1995),CarlinandLouis(2000),
andGilksetal.(1998).
Theearliestdevelopmentsrelatedtotheapplication
ofprobabilitytoquestionsofinferencedatetothe
contributionsofBayesandLaplaceinthesecondhalf
oftheeighteenthcentury(Stigler1986).Priortothat
pointresearchersfocusedonthetraditionalpre-data
probabilitycalculations,i.e.,givencertainassump-
tionsabouttherandomprocess,whatistheprob-
abilityassignedtovariouspossibleoutcomesfora
variableinquestion?BayesandLaplacereceive
independentcreditfor‘inverting’theprobability
statementtomakeprobabilitystatementsaboutpar-
ametervalues,givenobserveddatavalues.Therewas
littleactivityafterthattime,thoughsomeindividuals,
notablythephysicistJeffreys(1961),continuedto
developthefieldofinductiveinference.Modern
Bayesianinferencedevelopedintheperiodaround
andafterWorldWarII(e.g.,seeStatistics:TheField).
ThenameBayesianinferencereplaces‘inverseprob-
ability’onlyatthislatertime.Somekeycontributions:
Savage(1954)isaninfluentialbookusingdecision
theorytojustifyBayesianmethods;deFinetti(1974)
contributedcrucialworkconcerningtheroleof
exchangeability(whichplaysaroleanalogoustothat
ofindependentidenticallydistributedobservationsin
thetraditionalfrequentistapproachtoinference);
RaiffaandSchlaifer(1961)developedtheuseof
conjugatedistributionsindetail;Lindley(1971,1990)
andBoxandTiao(1973)contributedgreatlytothe
popularizationoftheapproach.Mostrecently,thelast
decadeofthetwentiethcenturysawthediscovery(or
rediscovery)ofcomputationalalgorithmsthatmakeit