Subjective And Objective Bayesian Statistics: Principles, Models, And Applications, 2nd Ed. (wiley Series In Probability And Statistics)

This Page intentionally left blank Subjective and Objective Bayesian Statistics Second Edition WILEY SERIES IN PROBABILITY AND STATISTICS bublished by WALTER A. SHEWHART and SAMUEL S . WILKS Editors: David 1 Balding, Peter 1 Bloom$eId, Noel A. C. Cressie, Nicholas I. Fisher, Iain M.Johnstone, J 8. Kadane, Louise M. Ryan, David W h t t , Adrian E M. Smith, JozeJL.. Tag&; Editors Emeriti: Yic Barnen, J Stuari Hwnler, David G.KenduN A complete list of the titles in this 6 s appears at the end of this volume. Subjective and Objective Bayesian Statistics Principles, Models, and Applications Second Edition S. JAMES PRESS with contributions by SIDDHARTIIA CHIB MEKLlSE CLYDE GEORGE WOODWORTH ALAN ZASLAVSKY A John Wiley & Sons, Inc., Publication Copyright Q 2003 by John Wiley and Sons, Inc. All rights reserved. Published by John Wiley & Sons, Inc., Hoboken,New Jersey. Published simultaneously m Canada. No part of this publication may be nproducad,stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photowpymg, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorintion through payment of the appropriate pzrcopy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923,978-750-8400,fax 9787504470,or on the web at www.copyright.com. Requests to the Publisher for permission should be addressed to the Perrmssions Department, John Wiley & Sons, Inc,, I I 1 River Street, Hoboken, NJ 07030, (201) 748-6011,fax (201)7486008,entail: prmrq(@wilcy.com. Limit of Lmbility/Ihsclaimer of Warranty While the publtsher and author have used thew best e f f a m prepanng this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and hpenfidly dwlaim any mplted warcanties of merchantability or fitnws for a particular putpose. No warranty may be created or extended by sales representatives or wr~msales mate&. The advice and strategies contained herein may not be surtable for your situahon. You should consult with a professional where appropnate. Neither the pubkshcr nor the author shall be llable for any loss of profit or any other c o m e r c ~ adamages, l mcludmg but not Iirmted to specnl, mncidental. consequenrial, or other damages For g d information on OUI other products md services please contact our Customer Care Department withm the U.S. at 877-762-2974,outside the U.S. at 3 17-572-3993or fax 3 17-572402. Wiley also publishes its books in a variety of eleb%onic formats.Some content that appears in print, however, may not be available in electronic format. ISBN 0-471-34843-0 10 9 8 7 6 5 4 3 2 1 To my Family G,0, S,and all the Jb Reason, Observation, and Experience-The -Robert Holy Trinity of Science G . Inger~011(1833-1899) The Reverend Thomas Bayes This sketch of the person we believe to be Thomas Bayes was created by Rachel Tanur and is reproduced here by permission of her estate. CONTENTS Preface xxi Preface to the First Edition xxv A Bayesian Hall of Fame xxix PART I. FOUNDATIONS AND PRINCIPLES 1. Background 1 3 Rationale for Bayesian In