Over the past 10 years Bayesian methods have rapidly grown more popular in
many scientific disciplines as several computationally intensive statistica
l algorithms have become feasible with increased computer power. In this pa
per we begin with a general description of the Bayesian paradigm for statis
tical inference and the various state-of-the-art model-fitting techniques t
hat we employ (e.g., the Gibbs sampler and the Metropolis-Hastings algorith
m). These algorithms are very flexible and can be used to Dt models that ac
count for the highly hierarchical structure inherent in the collection of h
igh-quality spectra and thus can keep pace with the accelerating progress o
f new space telescope designs. The methods we develop, which will soon be a
vailable in the Chandra Interactive Analysis of Observations (CIAO) softwar
e, explicitly model photon arrivals as a Poisson process and thus have no d
ifficulty with high-resolution low-count X-ray and gamma -ray data. We expe
ct these methods to be useful not only for the recently launched Chandra X-
Ray Observatory and XMM but also for new generation telescopes such as Cons
tellation X, GLAST, etc. In the context of two examples (quasar S5 0014+813
and hybrid-chromosphere supergiant star alpha TrA), we illustrate a new hi
ghly structured model and how Bayesian posterior sampling can be used to co
mpute estimates, error bars, and credible intervals for the various model p
arameters. Application of our method to the high-energy tail of the ASCA sp
ectrum of alpha TrA confirms that even at a quiescent state, the coronal pl
asma on this hybrid-chromosphere star is indeed at high temperatures (>10 M
K) that normally characterize flaring plasma on the Sun. We are also able t
o constrain the coronal metallicity and find that although it is subject to
large uncertainties, it is consistent with the photospheric measurements.