LJK-Probability & Statistics Seminar

 

On Thursday February 5 2015 at 14h00 in Salle 1 - Tour IRMA

 

Seminary of Mr Omiros PAPASPILIOPOULOS (Universitat Pompeu Fabra, Barcelone)

 

Markov chain Monte Carlo methods for partially observed diffusions

 

Summary

 

I will provide an overview of the state of the art for Bayesian learning of unknown parameters and latent paths using Markov chain Monte Carlo methods in multivariate SDE models. The underlying methodology builds on probabilistic and computational techniques for simulating conditioned stochastic processes.