Average Reviews:
(More customer reviews)Note, this is a review of the first edition.
Overview
This book was the textbook used at the University of Wisconsin-Madison for the graduate course in Bayesian Decision and Control I during the fall of 2001 and 2002. It strikes a good balance between theory and practical example, making it ideal for a first course in Bayesian theory at an intermediate-advanced graduate level. Its emphasis is on Bayesian modeling and to some degree computation.
Prerequisites
While no Bayesian theory is assumed, it is assumed that the reader has a background in mathematical statistics, probability and continuous multi-variate distributions at a beginning or intermediate graduate level. The mathematics used in the book is basic probability and statistics, elementary calculus and linear algebra.
Intended audience
This book is primarily for graduate students, statisticians and applied researchers who wish to learn Bayesian methods as opposed to the more classical frequentist methods.
Material covered
It covers the fundamentals starting from first principles, single-parameter models, multi-parameter models, large sample inference, hierarchical models, model checking and sensitivity analysis (model checking and sensitivity analysis are especially well covered), study design, regression models, generalized linear models, mixture models and models for missing data. In addition it covers posterior simulation and integration using rejection sampling and importance sampling. There is one chapter on Markov chain Monte Carlo simulation (MCMC) covering the generalized Metropolis algorithm and the Gibbs sampler.
Over 38 models are covered, 33 detailed examples from a wide range of fields (especially biostatistics). Each of the 18 chapter has a bibliographic note at the end. There are two appendixes: A) a very helpful list of standard probability distributions and B) outline of proofs of asymptotic theorems.
Sixteen of the 18 chapters end with a set of exercises that range from easy to quite difficult. Most of the students in my fall 2001 class used the statistical language R to do the exercises.
The book's emphasis is on applied Bayesian analysis. There are no heavy advanced proofs in the book. While the proofs of the basic algorithms are covered there are no algorithms written in pseudo code...Additional books of related interest
1) Statistical Decision Theory and Bayesian Analysis, James Berger, second edition. Emphasis on decision theory and more difficult to follow than Gelman's book. Covers empirical and hierarchical Bayes analysis. More philosophical challenging than Gelman's book.
2) Monte Carlo Statistical Methods, Robert and Casella. Very mathematically oriented book. Does a good job of covering MCMC.
3) Monte Carlo Methods in Bayesian Computation, Ming-Hui Chen, Qi-Man Shao, Joseph George Ibrahim. An enormous number of algorithms related to MCMC not covered elsewhere. If you need MCMC and need an algorithm to implement MCMC this is the book to read.
4) Monte Carlo Strategies in Scientific Computing, Jun S. Liu. Covers a wide range of scientific disciplines and how Monte Carlo methods can be used to solve real world problems. Includes hot topics such as bioinformatics. Very concise. Well written, but requires effort to understand as so many different topics are covered. This book is my most often borrowed book on Monte Carlo methods. Jun S. Liu is a big gun at Harvard.
5) Probabilistic Networks and Expert Systems. Cowell, Dawid, Lauritzen, Spiegelhalter. Covers the theory and methodology of building Bayesian networks (probabilistic networks).
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Bayesian Data Analysis, Second Edition (Chapman & Hall/CRC Texts in Statistical Science)Incorporating new and updated information, this second edition of THE bestselling text in Bayesian data analysis continues to emphasize practice over theory, describing how to conceptualize, perform, and critique statistical analyses from a Bayesian perspective. Its world-class authors provide guidance on all aspects of Bayesian data analysis and include examples of real statistical analyses, based on their own research, that demonstrate how to solve complicated problems. Changes in the new edition include:
Stronger focus on MCMC
Revision of the computational advice in Part III
New chapters on nonlinear models and decision analysis
Several additional applied examples from the authors' recent research
Additional chapters on current models for Bayesian data analysis such as nonlinear models, generalized linear mixed models, and more
Reorganization of chapters 6 and 7 on model checking and data collectionBayesian computation is currently at a stage where there are many reasonable ways to compute any given posterior distribution. However, the best approach is not always clear ahead of time. Reflecting this, the new edition offers a more pluralistic presentation, giving advice on performing computations from many perspectives while making clear the importance of being aware that there are different ways to implement any given iterative simulation computation. The new approach, additional examples, and updated information make Bayesian Data Analysis an excellent introductory text and a reference that working scientists will use throughout their professional life.
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