Chennai Mathematical Institute

Seminars




3:30 pm - 4:30 pm, Seminar Hall
Statistical estimation of integrals with respect to infinite measures

Vivekananda Roy
Iowa State University.
03-02-15


Abstract

Estimation of integrals with respect to probability measures using either iid Monte Carlo or Markov chain Monte Carlo (MCMC) is well known. In this talk a new tool known as regenerative sequence Monte Carlo (RSMC) based on regenerative sequences will be introduced for estimation of integrals with respect to measures that may be infinite. We will illustate this new method with some examples.

(This is based on joint work with Krishna Athreya of Iowa State University).





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