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SCB

Seminar

Bayesian inference for nonlinear multivariate diffusion processes

Wilkinson, D (Newcastle)
Thursday 02 November 2006, 15:45-17:00

Seminar Room 1, Newton Institute

Abstract

In this talk I will give an overview of the problem of conducting Bayesian inference for the fixed parameters of nonlinear multivariate diffusion processes observed partially, discretely, and possibly with error. I will present a sequential strategy based on either SIR or MCMC-based filtering for approximate diffusion bridges, and a "global" MCMC algorithm that does not degenerate as the degree of data augmentation increases. The relationship of these techniques to methods of approximate Bayesian computation will be highlighted.

Presentation

[pdf ]

Audio

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