ISyE8843A, Brani Vidakovic Handout 9 1 Bayesian Computation.
نویسنده
چکیده
If the selection of an adequate prior was the major conceptual and modeling challenge of Bayesian analysis, the major implementational challenge is computation. As soon as the model deviates from the conjugate structure, finding the posterior (first the marginal) distribution and the Bayes rule is all but simple. A closed form solution is more an exception than the rule, and even for such closed form solutions, lucky mathematical coincidences, convenient mixtures, and other “tricks” are needed. Up to this point I believe you got a sense of this calculational challenge. If classical statistics relies on optimization, Bayesian statistics relies on integration. The marginal needed for the posterior is an integral
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