SSC 383 C

Statistical Modelling I

Fall 2013

Instructor: Dr. Mike Daniels (mjdaniels@austin.utexas.edu) 141MC Patterson 471-4128

Lecture: T/TH 11-12:30, UTC 1.118 Oce Hours: T,Th 10:15-11:00,12:30-1:15 (or call or email) Content: This is a graduate course on statistical modelling designed for rst year PhD students in statistics. The course will start with an introduction to using R. We will then provide an overview of Bayesian inference introducing posterior distributions, priors, and computing the posterior using sampling based approaches (MCMC); at this point, we will also briey introduce the WinBUGS software package. We will then go through regression models, hierarchical models, and multivariate models under both frequentist and Bayesian inference with an emphasis on Bayesian approaches. Pre-requisites: Graduate standing, Math 408M (Multivariate calculus), Math 341 (Linear Algebra), and an introductory statistics course (e.g., SSC 302) OR consent of instructor.

Useful Texts (on reserve in Library): Albert (2009) Bayesian computation with R. Springer. Gelman, Carlin, Stern, and Rubin (2004) Bayesian Data Analysis, 2nd edition. Chapman & Hall/CRC Press. (3rd edition should be out soon) Carlin and Louis (2009) Bayesian Methods for Data Analysis, 3rd edition. Chapman & Hall/CRC Press. Christensen, Johnson, Branscum, and Hanson (2011) Bayesian ideas and data analysis. CRC Press. Vittingho, Glidden, Shiboski, and McCulloch (2012) Regression methods in biostatistics: Linear, logistic, survival, and repeated measures models, 2nd edition. Springer. Lunn, Jackson, Best, Thomas and Spiegelhalter (2012) The BUGS book: A practical introduction to Bayesian Analysis. CRC Press. Brooks, Gelman, Jones, and Meng (2011) Handbook of Markov Chain Monte Carlo. Hall/CRC Press. Chapman &

Class notes: I will provide notes by 5pm the day before each class (on Blackboard). I recommend printing/downloading these before coming to class. Computing: Models introduced will be t using R and WinBUGS (both packages are available for free download at the following websites: cran.r-project.org and www.mrc-bsu.cam.ac.uk/bugs/). PLEASE DOWNLOAD AT LEAST R BEFORE THE SECOND CLASS. You will also be required to write your own code to t some of the models in class and to write programs in R. There are many R packages for certain classes of models for both frequentist and Bayesian inference (e.g., MCMCglmm for glmms). WinBUGS is a general software package that ts Bayesian models using MCMC based on just writing down the model (sometimes in clever ways). There are packages to run WinBUGS within R (rbugs and r2winbugs) and ways to run WinBUGS on a Mac (I have documentation on how to set this up). Also, there is a program similar to WinBUGS for Macs (JAGS; available at mcmc-jags.sourceforge.net).

Assignments: Eight to ten assignments will be handed out during the semester. Assignments will be due before class on the due date. Late assignments will not be accepted.

Project: Careful modeling of a dataset (provided by me) that will be given out in early November to address specic inferential questions. You will be responsible to write up an 8 to 10 page report describing your modelling and estimation approach and your results, specically addressing the questions of interest. Exams: There will be two midterm exams given during regular class time as indicated on the tentative schedule below. The exams will require a calculator. If you are unable to take an exam on the scheduled date (due to circumstances beyond your control), you need to contact me BEFORE you miss the exam. Otherwise, you will receive a 0 on the exam. Grades: Grades for the course will be based on the following: Assignments 10% Project 30% Exam I 30% Exam II 30% Tentative Schedule: Topics Introduction to R Priors & Posterior inference Computation of the posterior Introduction to Model Selection and Fit Regression Hierarchical models Data augmentation - Advanced computing Multivariate models

No. of Weeks Suggested Readings 2 A Ch 1-2 2 GCSR Ch 1, 2; CJBH Ch 2; CL Ch 1-2; A Ch 3-4 1 GCSR Part III ; CJBH Ch 3,6; CL Ch 3; A Ch 5-6 1 GCSR Ch 6; CJBH Ch 4; CL Ch 4 Exam I: October 8 4 GCSR Ch 14, 16; CJBH Ch 7-9, 11-13; VGSM Ch 4,5,6,8 2 GCSR Ch 5, 15; CJBH Ch 4; A Ch 7 Exam II: Mid Nov. 1 CJBH Ch 4 1 GCSR Ch 19; CJBH Ch 10

No class on the following dates (tentative): Sept. 12, Nov. 12.