Text only print
Full screen print
Tokyo Probability Seminar
Seminar information archive ～04/19｜Next seminar｜Future seminars 04/20～
| Date, time & place | Monday 16:00 - 17:30 126Room #126 (Graduate School of Math. Sci. Bldg.) |
|---|---|
| Organizer(s) | Makiko Sasada, Shuta Nakajima |
2015/04/13
16:50-17:50 Room #128 (Graduate School of Math. Sci. Bldg.)
Hans Rudolf Kuensch (ETH Zurich)
Modern Monte Carlo methods -- Some examples and open questions (ENGLISH)
Hans Rudolf Kuensch (ETH Zurich)
Modern Monte Carlo methods -- Some examples and open questions (ENGLISH)
[ Abstract ]
Probability and statistics once had strong relations, but in recent years the two fields have moved into opposite directions. Despite this, I believe that both fields would profit if they continued to interact. Monte Carlo methods are one topic that is of interest to both probability and statistics: Statisticians use advanced Monte Carlo methods, and analyzing these methods is a challenge for probabilists. I will illustrate this, using as examples rare event estimation by sample splitting, approximate Bayesian computation and Monte Carlo filters.
Probability and statistics once had strong relations, but in recent years the two fields have moved into opposite directions. Despite this, I believe that both fields would profit if they continued to interact. Monte Carlo methods are one topic that is of interest to both probability and statistics: Statisticians use advanced Monte Carlo methods, and analyzing these methods is a challenge for probabilists. I will illustrate this, using as examples rare event estimation by sample splitting, approximate Bayesian computation and Monte Carlo filters.
