Seminar on Probability and Statistics

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Organizer(s) Nakahiro Yoshida, 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)
[ 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 ]
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2010/03.html