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Statistics Seminar - Pierre Jacob (Harvard)

Event Type
Department of Statistics
wifi event
Dec 2, 2021   3:30 pm  
Originating Calendar
Department of Statistics Event Calendar

Title: Some methods based on couplings of Markov chain Monte Carlo algorithms 

Abstract: Markov chain Monte Carlo algorithms are commonly used to approximate a variety of probability distributions, such as posterior distributions arising in Bayesian analysis. I will review the idea of coupling in the context of Markov chains, and how this idea not only leads to theoretical analyses of Markov chains but also to new Monte Carlo methods. In particular, the talk will describe how coupled Markov chains can be used to obtain 1) unbiased estimators of expectations and normalizing constants, 2) non-asymptotic convergence diagnostics for Markov chains, and 3) unbiased estimators of the asymptotic variance of an MCMC ergodic average.

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Meeting ID: 815 7970 4788
Password: 646606

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