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Department of Mathematical Sciences

Seminar Archives

On this page you can find information about seminars in this and previous academic years, where available on the database.

Statistics Seminars: Problems with predictive distributions

Presented by Murray Aitkin, School of Mathematics and Statistics, University of Melbourne

22 September 2016 14:00 in CM219

This talk discusses difficulties with the use of the Bayesian posterior predictive distribution, or frequentist prediction intervals, for probability statements about new observations.
A new Bayesian approach to the prediction problem is described, and its properties illustrated with the prediction of new Bernoulli and normal observations.
The current posterior predictive distribution appears as the posterior mean of the new observation distribution, while the new approach give the full posterior distribution of the new observation.
This is joint work with Charles Liu (Cytel Inc., Boston).

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