Applied Mathematics Department Colloquium - Radu Craiu
| Event Description: Radu Craiu, Department of Statistical Sciences, University of Toronto Adaptive Strategies for Component-Wise Metropolis-Hastings Adaptive ideas within the MCMC universe are ubiquitous. However, proving the validity of an adaptive MCMC sampler can be a complicated affair, especially because of the so-called Containment Condition. Recent theoretical developments that will be briefly discussed have simplified this latter task. We propose a novel adaptive MCMC for component-wise Metropolis-Hastings using a simple and intuitive design that relies on the Multiple-try Metropolis transition kernel. This Adaptive Component-Wise Multiple-try Metropolis is compared with other existing adaptive CMH samplers using numerical experiments. This is joint work with Jinyoung Yang and Jeffrey Rosenthal. |
| Location Information: Main Campus - Engineering Classroom Wing (View Map) 1111 Engineering DR Boulder, CO Room: 265 |
| Contact Information: Name: Ian Cunningham Phone: 303-492-4668 Email: amassist@colorado.edu |