StochastikKolloquium Particle filters and variance estimation |  |
Vortragende Person:Dr. Anthony Lee, University of Bristol
Veranstalter:Institut für Mathematische Stochastik
Beschreibung:
Particle filters, or sequential Monte Carlo methods, are random algorithms for approximating certain types of integrals that arise in the analysis of data. I will introduce these methods, and present new variance estimators for the resulting approximations that can be computed using a single run of the algorithm. As the number of particles grows, the estimators are weakly consistent for asymptotic variances of the Monte Carlo approximations and some of them are also non-asymptotically unbiased. The asymptotic variances can be decomposed into terms corresponding to each time step of the algorithm, and we show how to estimate each of these terms consistently.
Ähnliche Veranstaltungen nach Schlagwort finden:
Veranstaltungsart:Kolloquium
Veranstaltungssprache:Englisch
Kategorie:Forschung
Name der einladenden Person:Dozenten des Instituts für Mathematische Stochastik
Externer Link:http://www.stochastik.math.uni-goettingen.de/
Zusätzliche Informationen:PDF-Anhang herunterladen
Export als iCalendar/ICS-Datei:
Direkter Link zur Veranstaltung:https://events.goettingen-campus.de/event?eventId=10816
EN DE
