[Forum SIS] DEC Seminar - March 19th

[Raffaella Piccarreta]

Dear all 
we are happy to announce the next DEC-statistics seminar. 
Regards, Raffaella Piccarreta 




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 19th 


Natesh Pillai 
(Harvard University) 



"Some aspects of Bayesian inference in high dimensional problems" 

Abstract 

In this talk we explore some aspects of high dimensional Bayesian estimation. We outline a theory for constructing shrinkage priors in high dimensional problems. These prior distributions (constructed as an alternative to the spike and slab priors) are popular because the corresponding MCMC algorithms mix very quickly. However, nothing much is known about their statistical efficiency. We present some results in this direction and also give a new prior which is both statistically and computationally efficient. We will also discuss some open problems. 



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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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