We meet on Wednesdays at 1pm, in the 10th floor conference room of the Statistics Department, 1255 Amsterdam Ave, New York, NY.
Sunday, May 17, 2015
Patrick Stinson: May 20th
Abstract: I'll present Lindsten and Schoen's review of SMC-based backward simulation methods. The most immediate application of backward simulation is to address state smoothing problems in sequential models; however, this method can be generalized to non-Markovian latent variable models. Particle MCMC is a new method that incorporates SMC-based proposal schemes into MCMC algorithms. Backward simulation and a related method, ancestral sampling, can dramatically increase particle efficiency and mixing in this setting. Paper: "Backward Simulation Methods for Monte Carlo Statistical Inference" by Fredrik Lindsten and Thomas B. Schoen Link: http://users.isy.liu.se/en/rt/lindsten/publications/LindstenS_2013.pdf
by Evan at 1:58 PM
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