As outlined above, Bayesian data analysis is based on meaningfully parameterized
descriptive models. Are there ever situations in which such models cannot be used or
are not wanted?
One situation in which itmight appear that parameterizedmodels are not used is with
so-called nonparametric models. But these models are confusingly named because they
actually do have parameters; in fact they have a potentially infinite number of parameters.
As a simple example, suppose we want to describe the weights of dogs. We measure the
weights of many different dogs sampled at random from the entire spectrum of dog
breeds. The weights are probably not distributed unimodally, instead there are probably
subclusters of weights for different breeds of dogs. But some different breeds might
have nearly identical distributions of weights, and there are many dogs that cannot be
identified as a particular breed, and, as we gather data from more and more dogs, we
might encounter members of new subclusters that had not yet been included in the
previously collected data. Thus, it is not clear how many clusters we should include
in the descriptive model. Instead, we infer, from the data, the relative credibilities of
different clusterings. Because each cluster has its own parameters (such as location and
scale parameters), the number of parameters in the model is inferred, and can grow
to infinity with infinite data. There are many other kinds of infinitely parameterized
models. For a tutorial on Bayesian nonparametricmodels, see Gershman and Blei (2012);
for a recent review, see Müller and Mitra (2013); and for textbook applications, see
Gelman et al. (2013). We will not be considering Bayesian nonparametric models in
this book.