Abstract #301805

This is the preliminary program for the 2003 Joint Statistical Meetings in San Francisco, California. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 2-5, 2003); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

To View the Program:
You may choose to view all activities of the program or just parts of it at any one time. All activities are arranged by date and time.

The views expressed here are those of the individual authors
and not necessarily those of the ASA or its board, officers, or staff.

Back to main JSM 2003 Program page
JSM 2003 Abstract #301805
Activity Number: 236
Type: Topic Contributed
Date/Time: Tuesday, August 5, 2003 : 10:30 AM to 12:20 PM
Sponsor: Section on Statistical Computing
Abstract - #301805
Title: Practical Filtering
Author(s): Nicholas G. Polson*+ and Jonathan Reuben Stroud and Peter Mueller
Companies: University of Chicago Graduate School of Business and University of Pennsylvania and University of Texas M.D. Anderson Cancer Center
Address: 1101 E 58th St., Chicago, IL, 60637-1561,
Keywords: volatility ; MCMC ; Bayes ; learning ; Lorenz ; filtering
Abstract:

We develop a general simulation-based appraoch to filtering and sequential parameter learning. We express the filtering distribution as a mixture of lag-smoothing distributions and implement this sequentially. Our approasch allows for sequential parameter learning where sequential importance sampling approaches have difficulties. We illusrate our methodology with an application to stochastic volaitlity and stochastic Lorenz models.

  • The address information is for the authors that have a + after their name.
  • Authors who are presenting talks have a * after their name.

Back to the full JSM 2003 program

JSM 2003 For information, contact meetings@amstat.org or phone (703) 684-1221. If you have questions about the Continuing Education program, please contact the Education Department.
Revised March 2003