[Statlist] Next talk: Friday, October 23, 2009

[Cecilia Rey]

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ETH and University of Zurich

Proff. A.D. Barbour - P. Buehlmann -  L. Held -
H.R. Kuensch - M. Maathuis - W. Stahel - S. van de Geer


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We are glad to announce the following talk

*Friday, October 23, 2009 15.15 - 17.00  HG  G 19.1 *
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*with Paul Fearnhead, Lancaster University UK*


/Title: /

Sequential Importance Sampling for General Diffusions

/Abstract: /

We present a general approach for performing sequential importance 
sampling for general diffusion models. This method avoids any time-discretisation 
approximation, and thus enables unbiased estimates of expectations of functions of the diffusion. It can 
be derived by considering simple sequential importance samplers for discrete-time approximations 
to diffusions, together with the tricks of Rao-Blackwellisation and 
retrospective sampling.

The approach is related to recent work on unbiased estimation (and perfect simulation) of diffusions, but extends considerably the class of diffusion models that can be considered. It is also
related to work on unbiased estimation by Wagner(1989). The links to these previous works will be discussed.


This abstract is also to be found under the following link:
http://stat.ethz.ch/talks/research_seminar

-- 
ETH Zürich
Seminar für Statistik
Cecilia Rey-Lutz, HG G10.3
Rämistrasse 101                    
CH-8092 Zurich		                      	
mail: rey using stat.math.ethz.ch    	  		
phone: +41 44 632 3438/fax: +41 44 632 1228