Research Seminar Series in Statistics and Mathematics
The Institute for Statistics and Mathematics (Department of Finance, Accounting and Statistics) cordially invites everyone interested to attend the talks in our Research Seminar Series, where internationally renowned scholars from leading universities present and discuss their (working) papers.
No registration required.
The list of talks for the winter term 2019/20 is available via the following link: https://www.wu.ac.at/en/statmath/resseminar
This talk will discuss the problem of Bayesian computation for posterior densities which are expensive to compute, typically due to the size of the data set under consideration. While subsampling large data sets is being used effectively for optimisation with large data sets, the problem of fully Bayesian posterior exploration is harder and invariably leads to systematic biases in estimation. Two potential solutions to this problem will be presented. Both have the property that although they both use subsampling, they are examples of so-called “exact approximate” algorithms with no systematic bias. The two algorithms described are the SCaLE algorithm, which works in a framework which combines MCMC and SMC to realise an evanescent Markov process whose quasi-stationary distribution is the target distribution. The second method is an example of Piecewise Deterministic Markov Processes, the so-called Zig-Zag algorithm which also utilises a continuous-time non-reversible Markov process whose stationary distribution is the required target.
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