Seminar on Probability and Statistics

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Organizer(s) Nakahiro Yoshida, Teppei Ogihara, Yuta Koike


15:40-16:30   Room #123 (Graduate School of Math. Sci. Bldg.)
Kengo Kamatani (Osaka University, JST CREST)
Markov chain Monte Carlo for high-dimensional target distribution
[ Abstract ]
The Markov chain Monte Carlo (MCMC) algorithms are widely used to evaluate complicated integrals in Bayesian Statistics. Since the method is not free from the curse of dimensionality, it is important to quantify the effect of the dimensionality and establish an optimal MCMC strategy in high-dimension. In this talk, I will review some high-dimensional asymptotics of MCMC initiated by Roberts et. al. 97, and explain some asymptotic properties of the MpCN algorithm. I will also mention some connection to Stein-Malliavin techniques.