20102011
Term 1  
date  speakers  title/paper  comments 
Fri, Oct 8, 2010  Krys  M. Girolami and B. Calderhead "Riemann manifold Langevin and Hamiltonian Monte Carlo methods" 
link to the paper [pdf] 
Fri, Oct 15, 2010  Krys  Girolami & Calderhead continued  
Fri, Oct 22, 2010  Murray  Introduction to particle filters  notes [pdf] (by Murray Pollock) 
Fri, Nov 6, 2010  Daniel  K. Kalogeropoulos, G. Roberts, P Delaportas "Inference for Stochastic Volatility Models using Time Change Transformations" Ann. Stat. 2010, 38(2), 784807 
link to the paper [pdf] 
Fri, Nov 13, 2010 
Krys  O. Stramer, G. Roberts "On inference for partially observed nonlinear diffusion models using the MetropolisHastings algorithm".Biometrika 88 (2001), no. 3, 603–621  link to thearticle in journal 
Fri, Nov 20, 2010 
Krys  K. Kalogeropoulos, G. Roberts, P Delaportas "Inference for Stochastic Volatility Models using Time Change Transformations" Ann. Stat. 2010, 38(2), 784807 
link to the paper [pdf] 
Fri, Dec 3, 2010  Christiane  Golightly, A; Wilkinson, D. J. "Bayesian inference for nonlinear multivariate diffusion models observed with error." Comput. Statist. Data Anal. 52 (2008), no. 3, 1674–1693. 
link to the paper [pdf] room change:seminar in the Statistics Common Room 
Term 2  
Fri, Jan 14, 2011  Alex  Roberts, G. O.; Gelman, A.; Gilks, W. R. "Weak convergence and optimal scaling of random walk Metropolis algorithms" Ann. Appl. Probab. 7 (1997), no. 1, 110–120. 
link to the paper [pdf] 
Fri, Jan 21, 2011  Kasia  Exact AlgorithmsAlexandros Beskos, Omiros Papaspiliopoulos, Gareth O. Roberts "A factorisation of diffusion measure and finite sample path constructions" www.springerlink.com/content/ "Exact and computationally efficient likelihoodbased estimation for discretely observed diffusion processes" http://onlinelibrary.wiley. 
room change: A1.01 
Fri, Jan 28, 2011  Dalia  Inverting 2D photos into densities in 3D The pursuit of the intrinsic material density in $\mathbb[R}^3$, given the available two dimensional image of the system, is commonly encountered in different areas of applied physics and is an integral step in astronomical modelling. The problem will be briefly discussed within the paradigm of integral equations. In the presence of density heterogeneities, this inverse problem is, however, illposed, unless extra information  in terms of measurements in addition to a single image  are made available. Such measurements sometimes constitute imaging the system at different viewing angles or when multiple viewing is impossible (as in astronomy), ancillary data are invoked. Modelling of such data (Paneratos 2009, Chakrabarty 2008,2010), will be discussed. Discussion of a new noninvasive methodology that attempts the estimation of the multimodal 3D density of material samples imaged by electron scattering techniques, without resorting to multiple viewing, will be included. 

Fri, Feb 4, 2011  Adam Johansen  Sequential Monte Carlo without State Space ModelsThe task of sampling from from a sequence of distributions arises naturally in many context within statistics and related fields. In some settings in which a single distribution is of interest it can also be useful to construct an artificial sequence which forms a bridge from a simple distribution to a more complicated distribution of interest. Sequential Monte Carlo provides a convenient framework in which importance sampling and resampling can be used to provide properly weighted samples from each distribution within a sequence. Some illustrative examples will be discussed if time permits.The ideas presented will focus on: "Sequential Monte Carlo Samplers", P. Del Moral, A. Doucet & A. Jasra, J. Royal Statist. Soc. /B, vol. 68, no. 3, pp. 411436, 2006. Pdf <http://www.cs.ubc.ca/% <http://www.cs.ubc.ca/% 

Fri, Feb 18, 2011  Chris Jewell  MCMC in Practice: Bayesian computation for the real world  
Fri, Feb 25, 2011  Krys  Markov chain CLTs and asymptotic confidence intervals for MCMC estimation. I will show two approaches to the Markov chains CLT proof, one by the Poisson equation and martingale approximation and one by regeneration. Only the the most regular cases will be presented. Then I will briefly discuss CLT based asymptotic confidence intervals in MCMC estimation. related papers are:  Roberts, Gareth O.; Rosenthal, Jeffrey S. General state space Markov chains and MCMC algorithms. Probab. Surv. 1 (2004), 2071  Hobert, James P.; Jones, Galin L.; Presnell, Brett; Rosenthal, Jeffrey S. On the applicability of regenerative simulation in Markov chain Monte Carlo. Biometrika 89 (2002), no. 4, 731743.  Jones, Galin L.; Haran, Murali; Caffo, Brian S.; Neath, Ronald Fixedwidth output analysis for Markov chain Monte Carlo. J. Amer. Statist. Assoc. 101 (2006), no. 476, 15371547.  Häggström, Olle; Rosenthal, Jeffrey S. On variance conditions for Markov chain CLTs. Electron. Comm. Probab. 12 (2007), 454464  Bednorz, Witold; Łatuszyński, Krzysztof; Latała, Rafał A regeneration proof of the central limit theorem for uniformly ergodic Markovchains. Electron. Commun. Probab. 13 (2008), 8598. 
room change: B3.03 (Maths) 
Fri, March 4, 2011  Kasia  Roberts, G. & Tweedie, R. Exponential convergence of Langevin distributions and their discrete approximations Bernoulli, 1996, 2, 341363 http://www.jstor.org/pss/3318418 

Fri, March 11, 2011  seminar cancelled> see instead AMSTAT seminar poster session starting from 10am in "the street"  atrium where the main entrance to the maths part of the building is.  
Fri, March 18, 2011  Alex  Joulin, A. & Ollivier, Y. Curvature, concentration, and error estimates for Markov chain Monte Carlo The Annals of Probability, 2010, 38, 24182442 http://wwwgmm.insatoulouse.fr/~ajoulin/publications/joulin_ollivier.pdf 

Fri, March 25, 2011  Giorgos Sermaidis (Lancaster)  MCMC for exact inference for diffusionshttp://arxiv.org/pdf/1102.5541  
Fri, April 1, 2011  Peter Windridge  Mixing times, cutoff and critical slowdown of certain MCMC algorithms for the Ising model.The focus will be Lubetzky/Sly's recent result http://arxiv.org/abs/1001.1613 

Fri, April 8, 2011  Peter Windridge  will continue  
Term 3  
Fri, May 6, 2011  
Fri, May 13, 2011  Sebastian  Hairer, M.; Stuart, A.; Voss, J. & Wiberg, P. Analysis of SPDEs arising in path sampling. Part I: The Gaussian case Communications in Mathematical Sciences, 2005, 3, 587603 http://arxiv.org/PS_cache/math/pdf/0601/0601095v1.pdfHairer, M.; Stuart, A. & Voss, J. Analysis of SPDEs arising in path sampling part II: The nonlinear case The Annals of Applied Probability, 2007, 17, 16571706 http://arxiv.org/PS_cache/math/pdf/0601/0601092v2.pdf 
2 hours session 
Fri, May 20, 2011  Paul Schneider  DENSITY APPROXIMATIONS FOR MULTIVARIATE AFFINE JUMPDIFFUSION PROCESSES http://arxiv.org/PS_cache/arxiv/pdf/1104/1104.5326v1.pdf 

Fri, May 27, 2011  Alberto  Kantas, N.; Doucet, A.; Singh, S. & Maciejowski, J. An overview of sequential Monte Carlo methods for parameter estimation in general statespace models http://publications.eng.cam.ac.uk/16156/1/sysid09_final_normal_format.pdf 

Fri, June 10, 2011  
Fri, June 17, 2011  Sebastian  Nonasymptotic mixing of the MALA algorithm Martin Hairer, N. BouRabee and E. VandenEijnden. http://arxiv.org/PS_cache/arxiv/pdf/1008/1008.3514v1.pdf 
A1.01 
???, ???, 2011  Alberto  continues on Kantas, N.; Doucet, A.; Singh, S. & Maciejowski, J. An overview of sequential Monte Carlo methods for parameter estimation in general statespace models http://publications.eng.cam.ac.uk/16156/1/sysid09_final_normal_format.pdf 
A1.01 