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Bayesian inference in continuous time jump processes

Thursday 16th January 2014 - 13:30 to 14:15
INI Seminar Room 1
In this talk I will discuss recent advances in inference for continuous time processes with random changepoints or jumps. I will discuss cases with finite numbers of jumps, modelled within a jump-diffusion or piecewise deterministic processed framework, then go on to describe processes with almost surely infinite numbers of jumps on finite intervals, focussing on recent developments for alpha-stable Levy processes. Methodology is Bayesian, using computational methods related to Markov chain Monte Carlo and particle filtering.
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University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons