STAT 7330 Decision Theory and Bayesian Inference

STAT 7330 Decision Theory and Bayesian Inference

MW 700 pm - 815 pm in SLC 3.102

Course syllabus


Instructor: Dr. Michael Baron
Office: FO2.602-E
Phone: 972-UTD-6874
Text: James O. Berger. Statistical Decision Theory and Bayesian Analysis,
2nd edition, Springer-Verlag, 2010 (paperback)
or 2nd edition, Springer-Verlag, 1985,
or 3rd edition (corrected), 1993.

Tentative Schedule

Week Topics Chapters
1-2 Introduction and philosophy. Loss function and risk. 1; 2; 4.1
3 Utility and Risk. 2
4-5 Prior and posterior. Conjugate families. 3; 4.1, 4.2
Generalized Bayes rules.
6-7 Bayesian estimation. 4.3
7-8 Bayesian hypothesis testing. Prediction. 4.3
9 Empirical Bayes rules 4.5
10 Hierarchical Bayes analysis. 4.6
11-12 Bayesian robustness. 4.7
13 Admissibility of Bayes rules. Bayesian calculation. 4.8, 4.9
14-15 Game theory and the minimax theorem. 5

Prerequisites: STAT 5351-5352 (Probability and Mathematical Statistics) and either STAT 6331 (Statistical Inference) or STAT 6338 (Advanced Statistical Methods II).