On Thursday 26th February, 5pm the RSS Lancashire/Cumbria local group will be
hosting the following event,
Time: Thursday 26th February 2009, 5pm
Venue: Fylde SCR, Lancaster University
Speaker: Dr Richard Everitt, University of Bristol
Title: Adaptive MCMC and Bayesian time-frequency analysis
All welcome!
Kind Regard,
Ting-Li Su
Secretary,
RSS Lancashire/Cumbria Local Group
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The spectral density is an important quantity in time series analysis.
Not only is it used in frequency domain analyses of signals, it is also
relevant to Markov chain Monte Carlo (MCMC) since the integrated
autocorrelation time (the spectral density evaluated at frequency zero)
is related to the efficiency of MCMC estimators.
In this talk we introduce recursions for estimating the spectral
density (and hence also the autocorrelation time) online. We then show
how these recursions may be used for two different purposes:
1. We present an adaptive MCMC algorithm, in which a computer can
use the online estimates of the autocorrelation time in order to
automatically tune the MCMC algorithm;
2. We demonstrate how to perform an online Bayesian estimation of
a time-frequency representation of a signal (using a particle filter)
through use of online estimates of the Page spectrum of the signal.
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