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Seminar on Probability and Statistics
Seminar information archive ～05/02｜Next seminar｜Future seminars 05/03～
| Organizer(s) | Nakahiro Yoshida, Hiroki Masuda, Teppei Ogihara, Yuta Koike |
|---|
2010/06/09
15:00-16:10 Room #000 (Graduate School of Math. Sci. Bldg.)
KAMATANI, Kengo (Graduate school of Mathematical Sciences, Univ. of Tokyo)
Weak convergence of Markov chain Monte Carlo method and its application to Yuima (JAPANESE)
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2010/03.html
KAMATANI, Kengo (Graduate school of Mathematical Sciences, Univ. of Tokyo)
Weak convergence of Markov chain Monte Carlo method and its application to Yuima (JAPANESE)
[ Abstract ]
We examine some asymptotic properties of Markov chain Monte Carlo methods by the weak convergence framework of MCMC. Our purpose is to compare this framework to the Harris recurrence framework. Numerical illustrations will be given via R. The connection to the YUIMA package will also be discussed.
This talk will be held at IT Studio.
[ Reference URL ]We examine some asymptotic properties of Markov chain Monte Carlo methods by the weak convergence framework of MCMC. Our purpose is to compare this framework to the Harris recurrence framework. Numerical illustrations will be given via R. The connection to the YUIMA package will also be discussed.
This talk will be held at IT Studio.
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2010/03.html
