Variations on Bayesian Prediction and Inference
Technical Report,29 May 2015,28 Feb 2016
University of Illinois - Chicago Chicago United States
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A Bayesian approach, based on updating prior information in light of new observations, via Bayes formula, has both nice intuition and strong theoretical support. However, in some applications, there are some roadblocks to carrying out the Bayesian analysis as usual. This ARO-sponsored project considered two general types of these settings. First, for the problem of predicting a future observation, a flexible Bayesian model is available but is too computationally expensive to implement when data are streaming and fast prediction is required.