chmue/vam-bayes-intro

A brief introduction to Bayesian Statistics for Very Applied Methods

A Brief Introduction to Bayesian Statistics

Prepared for the Very Applied Methods series at the London School of Economics and Political Science.

The material is largely based on the excellent course by Richard Morey @richarddmorey at Essex Summer School in 2011.

Contents (TBC)

• Intro to the mathematical background (short, the Bayesian "mantra")
• Specifying priors
• Sampling (Metropolis-Hastings / Gibbs sampling) (also short, but it's good to have an idea what's going on under the hood).
• Convergence (extremely important but often overlooked)
• Variational Inference and other approximations (used e.g. for topic models)

Code

• Estimating "standard" models in MCMCpack
• Output checks with coda
• Writing your own models in stan