Bayesian statistics, simulation and software

2020/2021

Prerequisite/Recommended prerequisite for participation in the module

The module builds on knowledge obtained by the module Statistical Inference for Linear Models from the Bachelor of Science (BSc) in Engineering (Mathematical Engineering.

Content, progress and pedagogy of the module

The aim of the course is for students to gain experience and understanding of Bayesian statistics, simulation based statistical inference and how to implement simulation based Bayesian inference in practice on a computer.

Learning objectives

Knowledge

  • has knowledge of the Bayesian principle including (conjugate) priors

  • has knowledge of algorithms used for Bayesian inference such as e.g. the Gibbs sampler and the Metropolis-Hastings algorithm

  • has knowledge of the theory of Markov chain Monte Carlo methods such as e.g. irreducibility, aperiodicity and invariant densities

  • has knowledge of practical challenges when using simulation based inference such as e.g. tuning, acceptance rates and burn-in

Skills

  • can apply the relevant methodologies from the course to conduct a Bayesian analysis of a given data set

  • can state the underlying assumptions and argue about limitations and extensibility of the chosen methodologies

Competences

  • can implement a relevant algorithm from the course to conduct simulation based Bayesian inference.

Exam

Prerequisite for enrollment for the exam

  • In order to participate in the course evaluation, students on the master level must have actively participated in course progress by way of one or several independent oral and/or written contributions.

Exams

Name of examBayesian statistics, simulation and software
Type of exam
Written or oral exam
ECTS5
AssessmentPassed/Not Passed
Type of gradingInternal examination
Criteria of assessmentThe criteria of assessment are stated in the Examination Policies and Procedures

Facts about the module

Danish titleBayesiansk statistik, simulering og software
Module codeK-MAT3-BAYES
Module typeCourse
Duration1 semester
SemesterSpring
ECTS5
Language of instructionDanish and English
Empty-place SchemeYes
Location of the lectureCampus Aalborg
Responsible for the module

Organisation

Study BoardStudy Board of Mathematical Sciences
DepartmentDepartment of Mathematical Sciences
FacultyFaculty of Engineering and Science