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Activity Number: 519
Type: Invited
Date/Time: Thursday, August 10, 2006 : 10:30 AM to 12:20 PM
Sponsor: Section on Statistical Computing
Abstract - #304978
Title: Sequential Monte Carlo for Estimating Ratio of Normalizing Constants
Author(s): Arnaud Doucet*+
Companies: The University of British Columbia
Address: 333-6356 Agricultural Road, Vancouver, BC, V6T 1Z2 , Canada
Keywords: sequential Monte Carlo ; normalizing constants ; Bayes factors ; importance sampling ; Markov chain Monte Carlo
Abstract:

We propose an original sequential Monte Carlo method for estimating the ratio of normalizing constants. This method requires sampling from a sequence of simple auxiliary distributions, determined automatically by the algorithm. We illustrate the performance of this method on various Bayesian inference problems.

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