Mathematical Theory of Bayesian Statistics  book cover
1st Edition

Mathematical Theory of Bayesian Statistics

ISBN 9780367734817
Published December 18, 2020 by Chapman & Hall
332 Pages

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Book Description

Mathematical Theory of Bayesian Statistics introduces the mathematical foundation of Bayesian inference which is well-known to be more accurate in many real-world problems than the maximum likelihood method. Recent research has uncovered several mathematical laws in Bayesian statistics, by which both the generalization loss and the marginal likelihood are estimated even if the posterior distribution cannot be approximated by any normal distribution.


  • Explains Bayesian inference not subjectively but objectively.

  • Provides a mathematical framework for conventional Bayesian theorems.

  • Introduces and proves new theorems.

  • Cross validation and information criteria of Bayesian statistics are studied from the mathematical point of view.

  • Illustrates applications to several statistical problems, for example, model selection, hyperparameter optimization, and hypothesis tests.

This book provides basic introductions for students, researchers, and users of Bayesian statistics, as well as applied mathematicians.


Sumio Watanabe is a professor of Department of Mathematical and Computing Science at Tokyo Institute of Technology. He studies the relationship between algebraic geometry and mathematical statistics.

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Mathematical Theory of Bayesian Statistics

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Sumio Watanabe is a professor in the Department of Computational Intelligence and Systems Science at Tokyo Institute of Technology, Japan.


"Information criteria are introduced from the two viewpoints, model selection and hyperparameter optimization. In each viewpoint, the properties of the generalization loss and the free energy or the minus log marginal likelihood are investigated. The book is very nicely written with well-defined concepts and contexts. I recommend to all students and researchers." ~Rozsa Horvath-Bokor, Zentralblatt MATH