[Turing-Southampton] S3RI seminar: Peter Neal, Thursday 2-3pm

[Ogden H.E.]

Dear all,

On Thursday (14 March) at 2pm in 54 / 7035 (7B), we have an S3RI seminar from Peter Neal (Lancaster University)  on "Efficient model comparison techniques for models requiring large scale data augmentation". Details are given below.

The seminar will also be available via a live web-cast at
https://coursecast.soton.ac.uk/Panopto/Pages/Viewer.aspx?id=c543bb6f-fa6a-4798-b7b2-aa0d008a1652

The talk will be followed by tea and cake in the staff reading room on level 4 of building 54.

All are welcome!

Best wishes,

Helen


Efficient model comparison techniques for models requiring large scale data augmentation

Peter Neal, Lancaster University

Selecting between competing statistical models is a challenging problem especially when the competing models are non-nested. We offer a simple solution by devising an algorithm which combines MCMC and importance sampling to obtain computationally efficient estimates of the marginal likelihood (model evidence) which can then be used to compare the models. The incorporation of a particle filter step into the algorithm allows the algorithm to be successfully applied to time series data sets, where calculating the marginal likelihood is made more challenging by the presence of large amounts of missing data.

For the current schedule of S3RI seminars, see https://tinyurl.com/s3riseminar<https://emea01.safelinks.protection.outlook.com/?url=https%3A%2F%2Ftinyurl.com%2Fs3riseminar&data=01%7C01%7C%7Cd6a1e707c32349c6a49808d6a5fb4e0e%7C4a5378f929f44d3ebe89669d03ada9d8%7C1&sdata=aDYn6AC7RRyIrf633cxxJy3WvrE%2BAhctOgE2gfJhDQE%3D&reserved=0>
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