RSS ORDINARY MEETING ORGANIZED BY THE RESEARCH SECTION.
Wednesday 19 May, 5.00pm at the RSS (Tea 4.30pm)
JIM DURBIN (London School of Economics)
& SIEM JAN KOOPMAN (Tilburg University)
Time series analysis of non-Gaussian observations based on state space
models from both classical and Bayesian perspectives.
Summary: The analysis of non-Gaussian time series using state space
models is considered from both classical and Bayesian perspectives.
The treatment in both cases is based on simulation using importance
sampling and antithetic variables. The techniques are illustrated by
applying them to a discrete series, a series with outliers and a
volatility series.
A Postscript version of the paper is available at
http://www.amsta.leeds.ac.uk/~iand/rss/may19.ps
Datasets and programs related to the paper:
http://cwis.kub.nl/~few5/center/staff/koopman/rss
---------------------------------
The meeting will take place at the Royal Statistical Society,
12 Errol Street, London EC1Y 8LX (nearest underground stations are
Old Street, Moorgate and Barbican). Tel: 0171 - 638 8998
For a hard copy of the paper please contact Val Evans
at the RSS ([log in to unmask]), stating your full postal address.
Ian Dryden
Hon Secretary, Research Section, RSS
-----------------------------------------------------------------------
Research Section Web page:
http://www.stats.bris.ac.uk/~peter/ressect.html
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
|