Thursday, 12 January 2012

Bayes theorem

I just read a book "The theory that would not die" by Sharon Bertsch McGrayne. It's about Bayes theorem, and its history.

I'm interested in this, because my PhD thesis was about a technique I'd invented that I called "Recursive Bayesian Estimation", which uses Bayes repeatedly to estimate things.

My PhD was started in 1980, published in 1983. When I fit that into the timeline in the book, it seems that I'd gotten interested in this idea at pretty much the start. Certainly when I did my literature search, there had been little or nothing published that used my idea for estimation of economic factors, and I was breaking fresh ground the whole way, including the need to write software to do my number crunching.

By the time I'd finished the PhD, I was up to my eyebrows in Bayes; I'd had enough for a lifetime. As soon as I could, I forgot the whole thing. But, inspired by the book, I've had a look around, and it seems that I published my thesis at the start of a whole Bayesian wave.

I'd advise you not to read it. I don't think anyone else has.

But looking at what has happened since, I do feel good that those three years weren't wasted, I really was on the front line of economic/statistical thinking.

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