Re: Seminario IMQ, 17 novembre 2005, h 16.30

[Pietro Muliere <pietro.muliere@uni-bocconi.it>]

Seminario 17 novembre 2005 h. 16.30
Aula IMQ, stanza n. 137
 
Giovanni Petris
University of Arkansas
 
"Transdimensional Markov chain Monte Carlo made easy"

In this talk we illustrate a new approach to transdimensional MCMC that is
particularly well suited for an automatic use. The proposed approach is based
on a geometric intuition that allows to transform a target distribution
defined on a space of variable dimension into a distribution on a space of
constant dimension. This opens the possibility to use in a transdimensional
setting all the samplers available for fixed-dimensional MCMC. In particular,
when the goal is to develop an automatic transdimensional sampler, we show
how a multivariate generalization of Adaptive Rejection Metropolis Sampling 
can be used to generate a sample from the transformed target. In many 
applications our approach produces efficient transdimensional samplers without 
requiring the specification of clever 'jump' proposals, making Bayesian 
multimodel inference readily availble to the practitioner. Applications to 
mixture models with an unknown number of components will be presented.



Pietro Muliere
Istituto Metodi Quantitativi
Università L. Bocconi
Viale Isonzo, 25
20135 Milano - Italy

Tel. 0039 02 58365623
Fax  0039 02 58365630


=============================================================================
NOTA:
Le norme per utilizzare il forum SIS e le istruzioni per iscrizione
e cancellazione sono disponibili all'indirizzo
.
.   http://w3.uniroma1.it/sis/forum.asp
.
L'archivio di tutti i messaggi (aggiornato al giorno precedente)
e' disponibile all'indirizzo
.
.   http://www.stat.unipg.it/cgi-bin/wilma/sis/
.
=============================================================================