Institute of Mathematics and Statistics,
University of Kent at Canterbury,
Statistics Seminar -- Lent Term 2000
Thursday, 27th January 2000
Dr Darren Wilkinson
(Newcastle University)
Title: Hybrid strategies for local computation and simulation in the
Bayesian analysis of high dimensional linear models
Abstract:
There is increasing interest in the use of hybrid algorithms for very
large discrete models. These represent a combination of MCMC and local
computation techniques devised to obtain the advantages of each method
without their
limitations. Essentially, variables are partitioned into a small number
of very large blocks. The posterior for each block can be simulated from
exactly given the state of adjacent blocks using local computation
techniques, and these
blocks are then used as the components of an MCMC scheme. In this
presentation, adaptation of the above techniques to continuous linear
models is explored. An adaptation of Lauritzen's CG propagation
algorithm can be used to
simulate exactly from the posterior distribution of large blocks of
conditionally Gaussian linear models. Using this as a starting point,
efficient hybrid MCMC schemes with good mixing properties can be
developed for very large linear
stochastic systems. The relationship with methods currently being used
for the Bayesian analysis of state-space and Hidden-Markov models will
be emphasised, and applications to other interesting models, such as
random-effect and Markov random field models will be explored
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Further details of the seminar programme and abstracts of
forthcoming talks are available from:
http://www.ukc.ac.uk/IMS/statistics/people/T.Sapatinas/Seminars/
seminars.html
All are very welcome. The Statistics Seminars will be held in
Mathematics Lecture Theatre in the Institute of Mathematics and
Statistics, Cornwallis Building.
The following WWW page contain details of how to get to the campus,
and how to find your way around:
http://www.ukc.ac.uk/ukc/location.html
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Dr Theofanis Sapatinas,
Lecturer in Statistics,
Postal Address: Institute of Mathematics and Statistics,
University of Kent at Canterbury,
Canterbury, Kent CT2 7NF,
United Kingdom.
Tel: ++(44)-1227-827253
Fax: ++(44)-1227-827932
Email: [log in to unmask]
URL: http://www.ukc.ac.uk/IMS/statistics/people/T.Sapatinas/
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