Short-courses and Tutorials

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 2Visit 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