統計数学セミナー

過去の記録 ~10/05次回の予定今後の予定 10/06~

担当者 吉田朋広、荻原哲平、小池祐太
セミナーURL http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/
目的 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う.

2020年11月18日(水)

14:30-16:00   数理科学研究科棟(駒場) Zoom号室
参加希望の方は参考URLのGoogle Formより3日前までにご登録ください。 ご登録後、会議参加に必要なURLを送付いたします。
Sanjay Chaudhuri 氏 (National University of Singapore)
Hamiltonian Monte Carlo In Bayesian Empirical Likelihood Computation (English)
[ 講演概要 ]
Asia-Pacific Seminar in Probability and Statistics https://sites.google.com/view/apsps/home

Abstract: We consider Bayesian empirical likelihood estimation and develop an efficient Hamiltonian Monte Carlo method for sampling from the posterior distribution of the parameters of interest. The proposed method uses hitherto unknown properties of the gradient of the underlying log-empirical likelihood function. It is seen that these properties hold under minimal assumptions on the parameter space, prior density and the functions used in the estimating equations determining the empirical likelihood. We overcome major challenges posed by complex, non-convex boundaries of the support routinely observed for empirical likelihood which prevents efficient implementation of traditional Markov chain Monte Carlo methods like random walk Metropolis-Hastings etc. with or without parallel tempering. Our method employs finite number of estimating equations and observations but produces valid semi-parametric inference for a large class of statistical models including mixed effects models, generalised linear models, hierarchical Bayes models etc. A simulation study confirms that our proposed method converges quickly and draws samples from the posterior support efficiently. We further illustrate its utility through an analysis of a discrete data-set in small area estimation.

Keywords: Constrained convex optimisation; Empirical likelihood; Generalised linear models; Hamiltonian Monte Carlo; Mixed effect models; Score equations; Small area estimation; Unbiased estimating equations.

This is a joint work with Debashis Mondal, Oregon State University and Yin Teng, E&Y, Singapore.

[ 参考URL ]
https://docs.google.com/forms/d/e/1FAIpQLSfbk6GTAzQuj0__YUtUMiAgbPWabT-M1vmbgldohiwPxPltuw/viewform