Robert C. - The Bayesian Choice (2nd edition, Springer, 2007).pdf - Probability and statistics - chomikSGHowy

Christian P. Robert

The Bayesian Choice

From Decision-Theoretic Foundations

to Computational Implementation

Second Edition

Christian P. Robert

CEREMADE

Universite Paris Dauphine

Place du Marechal de Lattre de Tassigny

75775 Paris cedex 16

France

xian@ceremade.dauphine.fr

Library of Congress Control Number: 2007926596

ISBN 978-0-387-71598-8

e-ISBN 978-0-387-71599-5

Printed on acid-free paper.

2007 Springer Science+Business Media, LLC

permission of the publisher (Springer Science+Business Media, LLC, 233 Spring Street, New York,

NY 10013, USA), except for brief excerpts in connection with reviews or scholarly analysis. Use

in connection with any form of information storage and retrieval, electronic adaptation, computer

software, or by similar or dissimilar methodology now known or hereafter developed is forbidden.

The use in this publication of trade names, trademarks, service marks, and similar terms, even if they

are not identiﬁed as such, is not to be taken as an expression of opinion as to whether or not they are

subject to proprietary rights.

987654321

springer.com

To my reference prior,

Brigitte,

and to two major updates,

Joachim and Rachel.

Preface to the Paperback Edition

What could not be changed must be endured.

Robert Jordan , New Spring, Prequel to The Wheel of Time

Thanks

While this paperback edition is almost identical to the second edition

of The Bayesian Choice , published in 2001, and thus does not require a

speciﬁc introduction, it oﬀers me the opportunity to thank several groups

of people for their contributions that made this edition possible.

First, the changes, when compared with the second edition, are only

made of corrections of typographical and conceptual errors (whose updated

list can be found on my Webpage 1 ). Almost all errors have been pointed

out to me by friends, colleagues, unknown lecturers or anonymous readers

who (always kindly and sometimes apologetically) sent me emails asking

me to clarify a speciﬁc paragraph, a formula or a problem that did not

make sense to them. Needless to say, I am very grateful to those numerous

contributors for making the book more accurate and I obviously encourage

all contributors who think there could be an error in the current edition to

contact me because they cannot be wrong! Either there indeed is a mistake

that needs to be set right or there is no mistake but the context is am-

biguous at best and the corresponding text needs to be rewritten. Thanks,

then, to Guido Consonni, Estelle Dauchy, Arnaud Doucet, Pierre Druihlet,

Ed Green, Feng Liang, Jean-Michel Marin, M.R.L.N. Panchanana, Fabrice

Pautot, and Judith Rousseau.

Second, working with my colleague Jean-Michel Marin on the design of

a course for teaching Bayesian Statistics from a practical and computa-

tional perspective (a venture now published as Bayesian Core by Springer

in early 2007) was a very important moment in that I realized that the

material in this very book, The Bayesian Choice , was essential in commu-

nicating the essential relevance and coherence of the Bayesian approach

1 http://www.ceremade.dauphine.fr/ ∼ xian/books.html

viii

Preface to the Paperback Edition

through its decision-theoretic foundations, while the message contained

in the other book and transmitted only through processing datasets is

that the Bayesian methodology is a universal and multifaceted tool for

data analysis. While introducing wider and less mathematical audiences to

the elegance and simplicity of the Bayesian methodology in a shorter and

therefore more focussed volume was also necessary, if only because some

learn better from examples than from theory, I came to the conclusion that

there was no paradox in insisting on those foundations in another book! I

am therefore immensely thankful to Jean-Michel Marin for initiating this

epiphany (if I may rightly borrow this expression from Joyce!), as well as

for several years of intense collaboration. Similarly, the DeGroot Prize com-

mittee of the ISBA—International Society for Bayesian Analysis—World

meeting of 2004 in Valparaiso, Chile, greatly honored me by attributing

to The Bayesian Choice this prestigious prize. In doing so, this committee

highlighted the relevance of both foundations and implementation for the

present and future of Bayesian Statistics, when it stated that the “book sets

a new standard for modern textbooks dealing with Bayesian methods, espe-

cially those using MCMC techniques, and that it is a worthy successor to

DeGroot’s and Berger’s earlier texts”. I am quite indebted to the members

of the committee for this wonderful recognition.

Third, it has been more than 18 years since I started working with John

Kimmel from Springer New York (on a basic Probability textbook with

Arup Bose that never materialized), and I always appreciated the support

he provided over the various editions of the books. So, when he presented me

with the possibility to publish this paperback edition, I ﬁrst got some mixed

feelings, because he made me feel like a classics author! This caused my kids

poking endless fun at me and, in the end, I am quite grateful to John for the

opportunity to teach from this book to a wider audience and thus hopefully

exposing them to the beauty of Bayesian theory and methodology. Short

of embarking upon a translation of The Bayesian Choice into Chinese or

Arabic, I do not think there is much more he could do to support the book!

In Memoriam

This is a sheer consequence of time moving on, unfortunately, but I lost

another dear friend since the last publication of The Bayesian Choice .Jose

Sam Lazaro passed away last Spring: a mathematician, a professor and a

colleague at the Universite de Rouen, a music addict and a movie aﬁcionado

that made me discover Der Tod und das Madchen as well as The Night of

The Hunter , an intense piano player, a memorable tale teller, he was above

all a philosopher and a friend. Although he would have made a joke out of

it, I would like to dedicate this edition to his memory and wish him well

to play this ﬁnal and endless sonata...

Valencia and Paris

Christian P. Robert

February 2007

Robert C. - The Bayesian Choice (2nd edition, Springer, 2007).pdf

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