[Forum SIS] DEC Seminar - March 12th

[Raffaella Piccarreta]

Dear all 
we are glad to announce the following seminar 



DEC - Statistics Seminar 
Università Bocconi, 
Room 3-E4-SR03 
Via Rontgen 1 - 3rd floor 
Time: 12:30pm 

The DEC seminar schedule is available at http://www.unibocconi.eu/statseminar 

Thursday, March 12th 


Nial Friel 
(University College Dublin) 



"Reduced variance Monte Carlo for Bayesian models with intractable likelihoods" 

Abstract 

Many statistical models are intractable, in the sense that the likelihood function cannot easily be evaluated, even up to proportionality. 
Bayesian estimation in this setting remains challenging. In this paper we construct novel control variates for intractable likelihoods that can reduce the Monte Carlo variance of Bayesian estimators, in some cases dramatically. We prove that our control variates are well-defined, provide a positive variance reduction and derive optimal tuning parameters that are targeted at maximising this variance reduction. Moreover, the methodology is highly parallelisable and offers an alternative route to exploit multi-core processing architectures for Bayesian computation. 
We illustrate the performance of our methodology on a variety of problems. 







regards, 
Raffaella 


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Raffaella Piccarreta 
DEC - Department of Decision Sciences, 
Universita' L.Bocconi, via Guglielmo Röntgen 1 (3rd floor, room D1-09). 20136, Milano. 
email: piccarreta a unibocconi.it 
tel. +39-02-58365659 / fax +39-02-58365630 

Web page (ENGLISH VERSION): http://faculty.unibocconi.eu/raffaellapiccarreta/ 
(ITALIAN VERSION): http://faculty.unibocconi.it/raffaellapiccarreta/ 
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