PHYSTAT Seminar: Practical Markov Chain Monte Carlo

by Galin Jones (UMN)

Wednesday Sep 6, 2023, 4:00 PM → 5:30 PM Europe/Zurich

Markov chain Monte Carlo (MCMC) is a set of tools for estimating features of probability distributions commonly encountered in modern applications. For MCMC simulation to produce reliable outcomes, it needs to generate observations representative of the target distribution, and it must be long enough so that the errors of Monte Carlo estimates are small. I will review methods for assessing the reliability of the simulation effort, with an emphasis on those most useful in practically relevant settings. Both strengths and weaknesses of these methods will be discussed and illustrated through straightforward examples.

Galin Jones is Professor and Director of the School of Statistics at the University of Minnesota. He is also affiliated with the Institute for Research in Statistics and its Applications, the UM Data Science program and the Data Science in Multi-Messenger Astrophysics program. His main research interest is in Markov Chain Monte Carlo.

 

GMT20230906-140238_Recording_1760x900.mp4

PHYSTAT.pdf