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Arnaud Doucet

 

( Oxford University )

 

Thursday 8th December 2011

13:00 - 14:00

 

B10 Seminar Room,

Alexandra House, 17 Queen Square, London, WC1N 3AR

 

 

The expected auxiliary variables method for Monte Carlo simulation

 

 

The expected auxiliary variable method is a general framework for Monte Carlo simulation in situations where the target distribution of interest is intractable thus preventing the implementation of classical methods. The method finds application in situations where marginal computations are of interest, transdimensional move design is difficult in model selection setups, when the normalising constant of a particular distribution is unknown but required for exact computations. I will present several examples of applications of this principle as well as some theoretical results that we have recently obtained in some scenarios.