Regenerative sequence Monte Carlo

Speaker: 

Krishna B. Athreya

Affiliation: 

Iowa State University
College of Liberal Arts and Sciencces
Department of Mathematics and Statistics
Ames, Iowa 50011
United States of America

Time: 

Thursday, 14 August 2014, 16:00 to 17:00

Venue: 

Organisers: 

Abstract: In this talk we introduce a new Monte Carlo (mc) procedure to consider estimating integrals w.r.t. infinite measures. The iid mc or mcmc are not applicable here. We consider both point estimation and interval estimation (this is joint work with Vivek Roy of Iowa State university).