JSM Preliminary Online Program
This is the preliminary program for the 2009 Joint Statistical Meetings in Washington, DC.

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 2009 Program page

Activity Number: 502
Type: Invited
Date/Time: Wednesday, August 5, 2009 : 2:00 PM to 3:50 PM
Sponsor: IMS
Abstract - #303213
Title: Auxiliary Variables, Perfect Simulation, and Importance Sampling for the Statistical Analysis of Stochastic Processes
Author(s): Gareth Roberts*+
Companies: University of Warwick
Address: Department of Mathematics and Statistics, , International, , United Kingdom
Keywords:
Abstract:

This presentation will review recent work on different types of auxiliary variable constructions to facilitate simulation and Monte Carlo for stochastic models. The constructions are characterized by the lack of requirement for any approximation, despite being applied (most commonly) to infinite-dimensional random variables. The methodology will be applied to statistical problems in particle filtering, MCMC, and Monte Carlo likelihood maximization. I will focus largely on applying the methodology to diffusions and related stochastic processes. This is joint work with Alex Beskos, Paul Fearnhead, and Omiros Papaspiliopulos.

  • 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 2009 program


JSM 2009 For information, contact jsm@amstat.org or phone (888) 231-3473. If you have questions about the Continuing Education program, please contact the Education Department.
Revised September, 2008