Bayesian Modeling and Computation in Python

Abstract

This book is useful for readers who want to hone their skills in Bayesian modeling and computation. Written by experts in the area of Bayesian software and major contributors to some existing widely used Bayesian computational tools, this book covers not only basic Bayesian probabilistic inference but also a range of models from linear models (and mixed effect models, hierarchical models, splines, etc) to time series models such as the state space model. It also covers the Bayesian additive regression trees. Almost all the concepts and techniques are implemented using PyMC3, Tensorflow Probability (TFP), ArviZ and other libraries. By doing all the modeling, computation, and data analysis, the authors not only show how these things work, but also show how and why things don’t work by emphasis on exploratory data analysis, model comparison, and diagnostics. To learn from the book, readers may need some statistical background such as basic training in statistics and probability theory. Some understanding of Bayesian modeling and inference is also needed, such as the concepts of prior, likelihood, posterior, the bayes’s law, and Monte Carlo sampling. Some experience with Python would also be very beneficial for readers to get started on this journey of Bayesian modeling. The authors suggested a few books as possible preliminaries for their book. I feel that the readers may also benefit from reading Andrew Gelman’s book, Bayesian Data Analysis, Chapman & Hall/CRC, 3rd Edition, 2013. Of course, as the authors pointed it out, this book is not for a Bayesian Reader but a Bayesian practitioner. The book is more of an interactive experience for Bayesian practitioners by learning all the computational tools to model and to negotiate with data for a good modeling practice. On the other hand, if readers have already had experience with real-world data analysis using Python or R or other similar tools, even if this book is their first experience with Bayesian modeling and computation, readers may still learn a lot from this book. There are an abundance of figures and detailed explanations of how things are done and how the results are interpreted. Picking up these details would need some trained sensibility when dealing with real-world data, but aspiring and experienced practitioners should find all the details useful and impressive. And there are also many big picture schematic drawings to help readers connect all the details with overall concepts such as end-to-end workflows. The Figure 9.1 is a remarkable example. Overall, as Kevin Murphy pointed out in the Forward, “this is a valuable addition to the literature, which should hopefully further the adoption of Bayesian methods”. I highly recommend readers who are interested in learning Bayesian models and their applications in practice to have this book on their bookshelf.