Bayesian Analysis

After making some general remarks, I consider two examples that illustrate the use of Bayesian Probability Theory. The first is a simple one, the physicist's favorite "toy," that provides a forum for a discussion of the key conceptual issue of Bayesian analysis: the assignment of prior probabilities. The other example illustrates the use of Bayesian ideas in the real world of experimental physics.Comment: 14 pages, 5 figures, Workshop on Confidence Limits, CERN, 17-18 January, 200

PAC-Bayesian Analysis of Martingales and Multiarmed Bandits

We present two alternative ways to apply PAC-Bayesian analysis to sequences of dependent random variables. The first is based on a new lemma that enables to bound expectations of convex functions of certain dependent random variables by expectations of the same functions of independent Bernoulli random variables. This lemma provides an alternative tool to Hoeffding-Azuma inequality to bound concentration of martingale values. Our second approach is based on integration of Hoeffding-Azuma inequality with PAC-Bayesian analysis. We also introduce a way to apply PAC-Bayesian analysis in situation of limited feedback. We combine the new tools to derive PAC-Bayesian generalization and regret bounds for the multiarmed bandit problem. Although our regret bound is not yet as tight as state-of-the-art regret bounds based on other well-established techniques, our results significantly expand the range of potential applications of PAC-Bayesian analysis and introduce a new analysis tool to reinforcement learning and many other fields, where martingales and limited feedback are encountered

BAT - The Bayesian Analysis Toolkit

We describe the development of a new toolkit for data analysis. The analysis package is based on Bayes' Theorem, and is realized with the use of Markov Chain Monte Carlo. This gives access to the full posterior probability distribution. Parameter estimation, limit setting and uncertainty propagation are implemented in a straightforward manner. A goodness-of-fit criterion is presented which is intuitive and of great practical use.Comment: 31 pages, 10 figure

On computational tools for Bayesian data analysis

While Robert and Rousseau (2010) addressed the foundational aspects of Bayesian analysis, the current chapter details its practical aspects through a review of the computational methods available for approximating Bayesian procedures. Recent innovations like Monte Carlo Markov chain, sequential Monte Carlo methods and more recently Approximate Bayesian Computation techniques have considerably increased the potential for Bayesian applications and they have also opened new avenues for Bayesian inference, first and foremost Bayesian model choice.Comment: This is a chapter for the book "Bayesian Methods and Expert Elicitation" edited by Klaus Bocker, 23 pages, 9 figure

Bayesian analysis of CCDM Models

Creation of Cold Dark Matter (CCDM), in the context of Einstein Field Equations, leads to negative creation pressure, which can be used to explain the accelerated expansion of the Universe. In this work we tested six different spatially flat models for matter creation using statistical tools, at light of SN Ia data: Akaike Information Criterion (AIC), Bayesian Information Criterion (BIC) and Bayesian Evidence (BE). These approaches allow to compare models considering goodness of fit and number of free parameters, penalizing excess of complexity. We find that JO model is slightly favoured over LJO/$\Lambda$CDM model, however, neither of these, nor $\Gamma=3\alpha H_0$ model can be discarded from the current analysis. Three other scenarios are discarded either from poor fitting, either from excess of free parameters.Comment: 16 pages, 6 figures, 6 tables. Corrected some text and language in new versio