Bayesian Statistics: Techniques and Implementation
III INPE Advance Course on Astrophysics: Astrostatistics
Instituto Nacional de Pesquisas Espaciais,
September 14th to 28th 2009
Sao Jose dos Campos, Brazil

Tutorial material (PDF FILE)

Tutorial outline

• Part 1: Monte Carlo Methods
• Part 2: Markov Chain Monte Carlo Methods
• Part 3: Sequential Monte Carlo Methods
• Part 4: Sequential Monte Carlo Methods with Parameter Learning

R code

• Parts 1 and 2: Visit the website of our MCMC book
• Part 3: dlm-smc.R – bootstrapfilter-stepbystep.R – dlm-smc-smoothing.R
• Part 4: dlm-smc-learningsig2-LW.R – dlm-smc-learningsig2-PL.R – nonlinearmodel-LW.R
• Particle learning and smoothing (Technical report + Slides of presentation)

Other useful links

• International Society for Bayesian Analysis (ISBA)
• The R project
• Markov Chain Monte Carlo Preprint
• Sequential Monte Carlo Preprint