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State-space models: the good, the bad and the ugly

Description
In this Stats Seminar Ruth King will propose a novel efficient model-fitting algorithm combining the ideas of data augmentation and numerical integration permitting standard "vanilla" MCMC algorithms to be applied. Two examples relating to stochastic volatility and population count data will be considered to demonstrate the increased efficiency that can be obtained using the new algorithm.
Presenter
Ruth King
Type
Academic, Seminar
Open to
All staff and students
Date
Wednesday, 15 November 2017
Time
1:00 PM to 2:00 PM
Where
Seminar Room, The Observatory, Buchanan Gardens
Contact
Valentin Popov
Email
vmp@st-andrews.ac.uk
Website
http://www.st-andrews.ac.uk/~statistics/seminars.html
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