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The University of Southampton
The Alan Turing Institute

S3RI Seminar - 14 March 2019 Event

Time:
14:00 - 15:00
Date:
14 March 2019
Venue:
University of Southampton, Highfield Campus, Building 54, Room 7035

Event details

Professor Peter Neal from Lancaster University will be giving a talk on 'Efficient model comparison techniques for models requiring large scale data augmentation'.

Abstract

Selecting between competing statistical models is a challenging problem especially when the competing models are non-nested. We offer a simple solution by devising an algorithm which combines MCMC and importance sampling to obtain computationally efficient estimates of the marginal likelihood (model evidence) which can then be used to compare the models. The incorporation of a particle filter step into the algorithm allows the algorithm to be successfully applied to time series data sets, where calculating the marginal likelihood is made more challenging by the presence of large amounts of missing data.

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