STAT 7330 Decision Theory and Bayesian Analysis

STAT 7330 Decision Theory and Bayesian Inference

TuTh 1200 pm - 215 pm in ECSS 2.203. Notice the ROOM CHANGE!


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

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
10 Sequential decision rules and other topics 7
11 FINAL EXAM on July 31 4-7

Prerequisites: STAT 5351-5352 (Probability and Mathematical Statistics) is required, STAT 6331 (Statistical Inference) is strongly recommended.