Dr Zdravko Botev

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.
Dr Zdravko Botev
Statistics Seminar
School of Mathematics and Statistics, UNSW
Fri, 23/03/2012 - 4:00pm to 5:00pm
OMB-145 - Old Main Building, Kensington Campus