Dr Zdravko Botev
Abstract:
Importance sampling and Markov chain Monte Carlo are typically considered two distinct simulation methods, where importance sampling is predominantly used for rare-event estimation problems, and Markov chain Monte Carlo is typically used for Bayesian computations. In this talk we describe a generic approach to rare-event probability estimation that combines both methods within a single framework.
Speaker
Research Area
Statistics Seminar
Affiliation
School of Mathematics and Statistics, UNSW
Date
Fri, 23/03/2012 - 4:00pm to 5:00pm
Venue
OMB-145 - Old Main Building, Kensington Campus