Hey there, I am currently attending Bayesian Inference in Stochastic Processes 7, hosted by Universidad Carlos III de Madrid. I am going to talk (for a very short 15 minutes) about SMC^2 (arXiv link, google code link) on Saturday. Looking at the conference’s program, I am definitely hoping to interact on closely-related topics with the [...]
Hey there, As we all know, there is more and more available data and more and more efficient ways to analyze them to get useful answers, about pretty much everything. So, statisticians and “data scientists” in general are usually busy people. However, if some of them ever get bored, there seems to be nice associations [...]
Hey, Last October, I blogged about an article written by Christian P. Robert, Murray Smith and myself about parallel computation, Independent Metropolis-Hastings and Rao-Blackwellization. The article advocates the use of parallel computation and the method described, called “block IMH”, can be done fully in parallel, which makes the whole thing pretty much costless compared to [...]
Hi again, With Nicolas Chopin and Omiros Papaspiliopoulos, we’ve just submitted a paper called SMC^2: a sequential Monte Carlo algorithm with particle Markov chain Monte Carlo updates. You can read the article online on arXiv here. This algorithm allows to estimate the parameters in a state space models, without any assumptions of linearity or gaussianity. [...]
