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Department of Mathematical Sciences

Seminar Archives

On this page you can find information about seminars in this and previous academic years, where available on the database.

Statistics Seminars: Bayesian parameter estimation for discretely observed diffusions

Presented by Jochen Voss, Department of Statistics, University of Leeds

22 November 2010 15:15 in CM221

In this talk I will describe how MCMC methods can be used to sample from the posterior distribution when estimating parameters of a discretely observed diffusion process. The method described will sample simultaneously from the posterior for the parameters and from the posterior for the (continuous time) diffusion path. The Markov process which form the basis of this MCMC method is a coupled system of a stochastic partial differential equation (SPDE) and a stochastic differential equation (SDE).

Host: Umberto Picchini

Contact sunil.chhita@durham.ac.uk for more information