Our aim is to analyze the link between optimism and risk aversion in a subjective expected utility setting and to estimate the average level of optimism when weighted by risk tolerance. Its estimation leads to a non-trivial statistical problem. We start from a large lottery survey (1536...

Winner of the 2004 DeGroot Prize This paperback edition, a reprint of the 2001 edition, is a graduate-level textbook that introduces Bayesian statistics and decision theory. It covers both the basic ideas of statistical theory, and also some of the more modern and advanced topics of Bayesian...

This note is an extended review of the book Error and Inference, edited by Deborah Mayo and Aris Spanos, about their frequentist and philosophical perspective on testing of hypothesis and on the criticisms of alternatives like the Bayesian approach.

This graduate-level textbook is the translation into French of The Bayesian Choice (Springer 2001). It presents an introduction to Bayesian statistics and decision theory. Its scope covers both the basic ideas of statistical theory, and also some of the more modern and advanced topics of...

Missing variable models are typical benchmarks for new computational techniques in that the ill-posed nature of missing variable models offer a challenging testing ground for these techniques. This was the case for the EM algorithm and the Gibbs sampler, and this is also true for importance...

In this note we attempt to trace the history and development of Markov chain Monte Carlo (MCMC) from its early inception in the late 1940's through its use today. We see how the earlier stages of the Monte Carlo (MC, not MCMC) research have led to the algorithms currently in use. More...

This introduction to Bayesian statistics presents the main concepts as well as the principal reasons advocated in favour of a Bayesian modelling. We cover the various approaches to prior determination as well as the basis asymptotic arguments in favour of using Bayes estimators. The testing...

This report is a collection of comments on the Read Paper of Fearnhead and Prangle (2011), to appear in the Journal of the Royal Statistical Society Series B, along with a reply from the authors.