Posts Tagged ‘ particle filters ’

Course at Monash (#2)

July 19, 2012
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Course at Monash (#2)

Here are the slides for the second day of my course at Monash University, Melbourne, in the Special Lectures in Econometrics, with a strong strong similarity with the slides of my course in Roma this Spring. (Ah, sunny Roma…) The first day lecture was very well attended and I hope this remains true for the

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Terry’s spiel

May 22, 2011
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Terry’s spiel

“We don’t need likelihood functions; we just need to know how to simulate from (…) We don’t need models with sufficient statistics; we just need summary statistics (…) We don’t need to be Bayesian; we just need to be approximately so. We don’t need theory to tell us our method works; we just need

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MCMC with errors

March 25, 2011
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MCMC with errors

I received this email last week from Ian Langmore, a postdoc in Columbia: I’m looking for literature on a subject and can’t find it:  I have a Metropolis sampler where the acceptance probability is evaluated with some error.  This error is not simply error in evaluation of the target density.  It occurs due to the

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Bayesian model selection

December 7, 2010
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Bayesian model selection

Last week, I received a box of books from the International Statistical Review, for reviewing them. I thus grabbed the one whose title was most appealing to me, namely Bayesian Model Selection and Statistical Modeling by Tomohiro Ando. I am indeed interested in both the nature of testing hypotheses or more accurately of assessing models,

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