[Forum SIS] Seminario BACALLADO

[Matteo Ruggiero]

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	                        CICLO DI SEMINARI
        COLLEGIO CARLO ALBERTO - MONCALIERI (TO)
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Nell'ambito del ciclo di seminari organizzato dalla "de Castro Statistics Initiative" (www.carloalberto.org/stats), 
alle ore 12.00 di Venerdì' 23 Settembre 2011, presso l'Aula Economics del Collegio Carlo Alberto, 
via Real Collegio 30, 10024, Moncalieri, Torino,

SERGIO BACALLADO  (Stanford University)

terra' un seminario dal titolo 

A BAYESIAN ANALYSIS OF REVERSIBLE TIME SERIES WITH AN UNCERTAIN LENGTH OF MEMORY

Abstract:
We propose a Bayesian analysis of reversible time series using a Probabilistic Suffix Automaton (PSA) model. We show that PSAs have a representation as higher-order Markov chains, and that the class of reversible PSAs generalize reversible variable-order Markov chains. The analysis uses a conjugate prior for higher-order Markov chains (Bacallado, Annals of Statistics, 39 (2), 2011), which allows us to sample the posterior of the process and latent lengths of memory through a blocked Gibbs sampler. We show the application of the method to a dataset of molecular dynamics simulations of protein folding. 


Tutti gli interessati sono invitati a partecipare.

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Matteo Ruggiero
University of Turin
http://web.econ.unito.it/ruggiero

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