Lecture Notes on Bayesian Estimation and Classification - IT

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This is page 1Printer: Opaque thisLecture Notes on Bayesian Estimation andClassificationM ario A. T. Figueiredo,Instituto de Telecomunica c oes, andInstituto Superior T ecnico1049-001 LisboaPortugal(Email address: Copyright by the author. DO NOT 20042This is page 3Printer: Opaque thisContents1 Introduction to Bayesian Decision Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . Statistical Decision Theory . . . . . . . . . . . . . . . . . . Basic Elements . . . . . . . . . . . . . . . . . . . . . Frequentist Risk Function and Decision Rules . . . . Bayesian Decision Theory . . . . . . . . . . . . . . . . . . . Subjective Probabilities and Degrees of Belief . . . . A Posteriori Expected Loss and Bayesian Decisions . Bayes Risk . . . . . . . . . . . . . . . . . . . . . . . Admissibility of Bayesian Rules.)

8 1. Introduction to Bayesian Decision Theory the main arguments in favor of the Bayesian perspective can be found in a paper by Berger whose title, “Bayesian Salesmanship,” clearly reveals

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