The Century of Bayes

Joseph J. Retzer
Maritz Research

A BIT OF HISTORY

The Bayesian 'machine' together with MCMC is arguably the most powerful mechanism ever created for processing data and knowledge.

(Berger 2001)

In 1763 the Reverend Thomas Bayes, a British mathematician and Presbyterian minister, formulated Bayes' theorem. His 'Essay towards solving a problem in the doctrine of chances', outlining the theorem, was published posthumously by his friend and colleague Richard Price. While his theory (also referred to as the theory of inverse probability) has been well known by both traditional and Bayesian statisticians for some time, only recently has Bayesian modelling become popular among applied researchers. As a first step towards understanding the 'Bayesian revolution', we need to understand how Bayes' theorem underlies Bayesian analysis in general.