Prof. Isham Valerie, Statistical Science, University College London, UK (15:00-16:00)

Stochastic Epidemic Models: Approximations, structured populations and networks

Abstract: Epidemic models are developed as a means of gaining understanding about the dynamics of the spread of infection (human and animal pathogens, computer viruses etc.) and of rumours and other information. This understanding can then inform control measures to limit, or in some cases enhance, spread. Towards this goal, I will start from some simple stochastic transmission models, and describe some Gaussian approximations and their use for inference, illustrating this with data from a norovirus outbreak as well as from simulations. I will then discuss ways of incorporating population structure via metapopulations and networks, and the effects of network structure on epidemic spread. Finally I will briefly consider the extension to explicitly spatial mobile networks, as for example when computer viruses spread via short-range wireless or bluetooth connections.

Dr. Spencer Wheatley, ETH Zurich, Switzerland, (15:00-16:00)

The "endo-exo" problem in financial market price fluctuations, & the ARMA point process

The "endo-exo" problem -- i.e., decomposing system activity into exogenous and endogenous parts -- lies at the heart of statistical identification in many fields of science. E.g., consider the problem of determining if an earthquake is a mainshock or aftershock, or if a surge in the popularity of a youtube video is because it is "going viral", or simply due to high activity across the platform. Solution of this problem is often plagued by spurious inference (namely false strong interaction) due to neglect of trends, shocks and shifts in the data. The predominant point process model for endo-exo analysis in the field of quantitative finance is the Hawkes process. A comparison of this field with the relatively mature fields of econometrics and time series identifies the need to more rigorously control for trends and shocks. Doing so allows us to test the hypothesis that the market is "critical" -- analogous to a unit root test commonly done in economic time series -- and challenge earlier results. Continuing "lessons learned" from the time series field, it is argued that the Hawkes point process is analogous to integer valued AR time series. Following this analogy, we introduce the ARMA point process, which flexibly combines exo background activity (Poisson), shot-noise bursty dynamics, and self-exciting (Hawkes) endogenous activity. We illustrate a connection to ARMA time series models, as well as derive an MCEM (Monte Carlo Expectation Maximization) algorithm to enable MLE of this process, and assess consistency by simulation study. Remaining challenges in estimation and model selection as well as possible solutions are discussed.

Speaker: Dr. Ben Calderhead, Department of Mathematics, Imperial College London
Title: Quasi Markov Chain Monte Carlo Methods

Abstract: Quasi-Monte Carlo (QMC) methods for estimating integrals are attractive since the resulting estimators typically converge at a faster rate than pseudo-random Monte Carlo. However, they can be difficult to set up on arbitrary posterior densities within the Bayesian framework, in particular for inverse problems. We introduce a general parallel Markov chain Monte Carlo(MCMC) framework, for which we prove a law of large numbers and a central limit theorem. In that context, non-reversible transitions are investigated. We then extend this approach to the use of adaptive kernels and state conditions, under which ergodicity holds. As a further extension, an importance sampling estimator is derived, for which asymptotic unbiasedness is proven. We consider the use of completely uniformly distributed (CUD) numbers within the above mentioned algorithms, which leads to a general parallel quasi-MCMC (QMCMC) methodology. We prove consistency of the resulting estimators and demonstrate numerically that this approach scales close to n^{-2} as we increase parallelisation, instead of the usual n^{-1} that is typical of standard MCMC algorithms. In practical statistical models we observe multiple orders of magnitude improvement compared with pseudo-random methods.

Prof. Renauld Lambiote, University of Oxford, UK (15:00-16:00)

Dr. Yoav Zemel, University of Göttingen, Germany (15:00-16:00)

Prof. Karla Hemming, University of Birmingham, UK (15:00-16:00)

Speaker: Clair Barnes, University College London, UK

Death & the Spider: postprocessing multi-ensemble weather forecasts with uncertainty quantification

Ensemble weather forecasts often under-represent uncertainty, leading to overconfidence in their predictions. Multi-model forecasts combining several individual ensembles have been shown to display greater skill than single-ensemble forecasts in predicting temperatures, but tend to retain some bias in their joint predictions. Established postprocessing techniques are able to correct bias and calibration issues in univariate forecasts, but are generally not designed to handle multivariate forecasts (of several variables or at several locations, say) without separate specification of the structure of the inter-variable dependence.

We propose a flexible multivariate Bayesian postprocessing framework, developed around a directed acyclic graph representing the relationships between the ensembles and the observed weather. The posterior forecast is inferred from the ensemble forecasts and an estimate of their shared discrepancy, which is obtained from a collection of past forecast-observation pairs. The approach is illustrated with an application to forecasts of UK surface temperatures during the winter period from 2007-2013.

Prof. Malgorzata Bogdan, University of Wroclaw, Poland (15:00-16:00)