[Forum SIS] Seminario LATUSZYŃSKI

[Matteo Ruggiero]

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STATISTICS SEMINARS @ COLLEGIO CARLO ALBERTO
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Venerdi 10 Novembre 2017, alle ore 12:00, presso la nuova sede del Collegio Carlo Alberto, in Piazza Arbarello 8, Torino, si terra' il seguente seminario:

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Krzysztof LATUSZYŃSKI (University of Warwick)

Exact Bayesian inference for discretely observed jump-diffusions

The standard approach to inference for parametric diffusion processes relies on discretisation techniques (such as the Euler method) that introduce an approximation error difficult to quantify especially for discontinuous models, like jump-diffusions. In this talk, I will present methodology for exact inference that avoids discretisation errors and allows to design MCMC samplers targeting the exact posterior distribution of the diffusion parameters and diffusion path between observations. The approach is based on Bernoulli Factory type subroutines, and is a general alternative to pseudo-marginal inference. The talk will be based on
http://imstat.org/bjps/papers/BJPS374.pdf  
https://arxiv.org/pdf/1707.00332.pdf   
and is joint work with Flavio Goncalves and Gareth Roberts.
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Tutti gli interessati sono invitati a partecipare.

Il seminario e' organizzato dalla "de Castro" Statistics Initiative (www.carloalberto.org/stats) in collaborazione con il Collegio Carlo Alberto.

Cordiali saluti, 
Matteo Ruggiero

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Matteo Ruggiero
University of Torino and Collegio Carlo Alberto
www.matteoruggiero.it