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Discussion of "Statistical Inference: The Big Picture" by R. E. Kass
Discussion Statistical Inference The Big Picture R. E. Kass
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2011/7/5
In this piece, Rob Kass brings to bear his insights from a long career in both theoretical and applied statistics to reflect on the disconnect between what we teach and what we do.
Markov chain Monte Carlo for exact inference for diffusions
Exact inference Exact simulation Markov chain Monte Carlo Stochastic differential equa-tion Transition density
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2011/3/25
We develop exact Markov chain Monte Carlo methods for discretely-sampled, directly and indirectly observed diffusions. The qualification "exact" refers to the fact that the invariant and limiting dist...