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 Dear all,

 There has been a change in the title and abstract of Simon Godsill's
 talk. Details are given below. Apologies for the change at this late
 change.
 
                       Institute of Mathematics and Statistics,

                           University of Kent at Canterbury,   

                     Statistics Seminar -- Trinity Term 1999

                            Thursday, 1st July 1999

                            2:00pm Dr Simon Godsill

                            (Cambridge University)

 Title: Bayesian inference for time series with heavy-tailed
        symmetric $\alpha$-stable noise processes

 Abstract:

 In this paper we present both stochastic and deterministic iterative
 methods for inference about random processes with symmetric stable
 innovations. The proposed methods use a scale mixtures of normals (SMiN)
 representation of the symmetric stable law to express the processes in
 conditionally Gaussian form. This allows standard procedures for dealing
 with the Gaussian case to be re-used directly as part of the scheme. In
 contrast with other recently
 published work on the topic, we propose a novel hybrid rejection sampling
 method for simulating the scale parameters from their full conditional
 distributions, making use of asymptotic approximations for the tail of a
 positive stable distribution when rejection rates are too high. This
 hybrid
 approach leads to improved performance compared with straightforward
 rejection sampling or Metropolis-Hastings (M-H) approaches. The methods
 can be applied to any model with symmetric stable terms, but we
 illustrate their
 application to linear models and present simulations for AR time series
 with symmetric stable innovations.

     ****************
   
      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

================================================================
 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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