Bayesian Statistics

In this chapter we address the Bayesian approach to statistical inference. This approach, unlike the classical Fisherian (or Frequentist) approach, assumes that there is an a priori information of probabilistic nature about the variable \( \theta \) which is the object of the statistical inference problem. making it a random variable which, by its very nature, cannot be assigned an exact numerical value. Many problems in econometrics and engineering have a natural formulation in the Bayesian context.