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# Documents  62F15 | enregistrements trouvés : 73

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## Markov Chain Monte Carlo Methods - Part 1 Robert, Christian P. | CIRM H

Post-edited

Research talks;Probability and Statistics

In this short course, we recall the basics of Markov chain Monte Carlo (Gibbs & Metropolis sampelrs) along with the most recent developments like Hamiltonian Monte Carlo, Rao-Blackwellisation, divide & conquer strategies, pseudo-marginal and other noisy versions. We also cover the specific approximate method of ABC that is currently used in many fields to handle complex models in manageable conditions, from the original motivation in population genetics to the several reinterpretations of the approach found in the recent literature. Time allowing, we will also comment on the programming developments like BUGS, STAN and Anglican that stemmed from those specific algorithms. In this short course, we recall the basics of Markov chain Monte Carlo (Gibbs & Metropolis sampelrs) along with the most recent developments like Hamiltonian Monte Carlo, Rao-Blackwellisation, divide & conquer strategies, pseudo-marginal and other noisy versions. We also cover the specific approximate method of ABC that is currently used in many fields to handle complex models in manageable conditions, from the original motivation in population ...

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## Bayesian inference and mathematical imaging - Part 3: probability and convex optimisation Pereyra, Marcelo | CIRM H

Post-edited

Research schools

This course presents an overview of modern Bayesian strategies for solving imaging inverse problems. We will start by introducing the Bayesian statistical decision theory framework underpinning Bayesian analysis, and then explore efficient numerical methods for performing Bayesian computation in large-scale settings. We will pay special attention to high-dimensional imaging models that are log-concave w.r.t. the unknown image, related to so-called “convex imaging problems”. This will provide an opportunity to establish connections with the convex optimisation and machine learning approaches to imaging, and to discuss some of their relative strengths and drawbacks. Examples of topics covered in the course include: efficient stochastic simulation and optimisation numerical methods that tightly combine proximal convex optimisation with Markov chain Monte Carlo techniques; strategies for estimating unknown model parameters and performing model selection, methods for calculating Bayesian confidence intervals for images and performing uncertainty quantification analyses; and new theory regarding the role of convexity in maximum-a-posteriori and minimum-mean-square-error estimation. The theory, methods, and algorithms are illustrated with a range of mathematical imaging experiments. This course presents an overview of modern Bayesian strategies for solving imaging inverse problems. We will start by introducing the Bayesian statistical decision theory framework underpinning Bayesian analysis, and then explore efficient numerical methods for performing Bayesian computation in large-scale settings. We will pay special attention to high-dimensional imaging models that are log-concave w.r.t. the unknown image, related to ...

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## Bayesian modelling Mengersen, Kerrie | CIRM H

Post-edited

Research School

This tutorial will be a beginner’s introduction to Bayesian statistical modelling and analysis. Simple models and computational tools will be described, followed by a discussion about implementing these approaches in practice. A range of case studies will be presented and possible solutions proposed, followed by an open discussion about other ways that these problems could be tackled.

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## Bayesian econometrics in the Big Data Era Frühwirth-Schnatter, Sylvia | CIRM H

Post-edited

Research talks

Data mining methods based on finite mixture models are quite common in many areas of applied science, such as marketing, to segment data and to identify subgroups with specific features. Recent work shows that these methods are also useful in micro econometrics to analyze the behavior of workers in labor markets. Since these data are typically available as time series with discrete states, clustering kernels based on Markov chains with group-specific transition matrices are applied to capture both persistence in the individual time series as well as cross-sectional unobserved heterogeneity. Markov chains clustering has been applied to data from the Austrian labor market, (a) to understanding the effect of labor market entry conditions on long-run career developments for male workers (Frühwirth-Schnatter et al., 2012), (b) to study mothers’ long-run career patterns after first birth (Frühwirth-Schnatter et al., 2016), and (c) to study the effects of a plant closure on future career developments for male worker (Frühwirth-Schnatter et al., 2018). To capture non- stationary effects for the later study, time-inhomogeneous Markov chains based on time-varying group specific transition matrices are introduced as clustering kernels. For all applications, a mixture-of-experts formulation helps to understand which workers are likely to belong to a particular group. Finally, it will be shown that Markov chain clustering is also useful in a business application in marketing and helps to identify loyal consumers within a customer relationship management (CRM) program. Data mining methods based on finite mixture models are quite common in many areas of applied science, such as marketing, to segment data and to identify subgroups with specific features. Recent work shows that these methods are also useful in micro econometrics to analyze the behavior of workers in labor markets. Since these data are typically available as time series with discrete states, clustering kernels based on Markov chains with ...

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## Spatial statistics and computational methods :papers from the TMR and MaPhySto Summer School on... held at Aalborg University#Aug. 19-22 Moller, Jesper | Springer 2003

Congrès

- 202 p.
ISBN 978-0-387-00136-4

Lecture notes in statistics , 0173

Localisation : Colloque 1er étage (AALB)

statistique # statistique spatiale # simulation # génération aléatoire # inférence bayesienne # processus spatial # chaîne de Markov # Monte Carlo # MCMC # analyse d'image # analyse de variance # géostatistique

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## Foundations of statistical inferencea series of symposia was held at the university of western OntarioLondonCanadato celebrate the 70th birthday of professor V.M. JoshiMay 27-31 MacNeill, Ian B. ; Umphrey, Gary J. | D. Reidel Publisher Co. 1987

Congrès

ISBN 978-90-277-2394-9

The university of western ontario series in philosophy of science , 0035

Localisation : Colloque 1er étage (LOND)

inference bayesienne # inference parametrique # inference statistique # regression # statistique

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## Bayesian nonparametrics.Papers based on the presentations at the workshopCambridge # august 2007 Hjort, Nils Lid ; Holmes, Chris ; Müller, Peter ; Walker, Stephen G. | Cambridge University Press 2010

Congrès

- viii; 299 p.
ISBN 978-0-521-51346-3

Cambridge series in statistical and probabilistic mathematics

Localisation : Colloque 1er étage (CAMB)

inférence bayésienne # inférence non-paramétrique # problème bayesien

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## Maximum-entropy and bayesian spectral analysis and estimation problemsproceedings of the third workshop on...WyomingAug. 1-4 Erickson, Gary J. ; Smith, C. Ray | D. Reidel Publisher Co. 1987

Congrès

ISBN 978-90-277-2579-0

Fundamental theories of physics

Localisation : Colloque 1er étage (LARA)

statistique bayesine # tropie

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## Méthodes bayésiennes en statistique :journées d'étude en statistique organisées au C.I.R.M. à Luminy Droesbeke, Jean-Jacques ; Fine, Jeanne ; Saporta, Gilbert | Editions Technip 2002

Congrès

- 418 p.
ISBN 978-2-7108-0813-8

Localisation : Colloque 1er étage (MARS)

statistique # méthode bayésienne # probabilité à postériori # Bayes # inférence bayesienne # analyse bayésienne # distribution à priori # test d'hypothèse # estimateur bayésien # propriété asymptotique # série temporelle # BOOTSTRAP

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## Model assessment, selection and averaging Vehtari, Aki | CIRM H

Multi angle

Research School

The tutorial covers cross-validation, and projection predictive approaches for model assessment, selection and inference after model selection and Bayesian stacking for model averaging. The talk is accompanied with R notebooks using rstanarm, bayesplot, loo, and projpred packages.

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## Brittleness and robustness of Bayesian inference for complex systems Sullivan, Tim | CIRM H

Multi angle

Research talks;Partial Differential Equations;Mathematics in Science and Technology;Probability and Statistics

The flexibility of the Bayesian approach to uncertainty, and its notable practical successes, have made it an increasingly popular tool for uncertainty quantification. The scope of application has widened from the finite sample spaces considered by Bayes and Laplace to very high-dimensional systems, or even infinite-dimensional ones such as PDEs. It is natural to ask about the accuracy of Bayesian procedures from several perspectives: e.g., the frequentist questions of well-specification and consistency, or the numerical analysis questions of stability and well-posedness with respect to perturbations of the prior, the likelihood, or the data. This talk will outline positive and negative results (both classical ones from the literature and new ones due to the authors) on the accuracy of Bayesian inference. There will be a particular emphasis on the consequences for high- and infinite-dimensional complex systems. In particular, for such systems, subtle details of geometry and topology play a critical role in determining the accuracy or instability of Bayesian procedures. Joint with with Houman Owhadi and Clint Scovel (Caltech). The flexibility of the Bayesian approach to uncertainty, and its notable practical successes, have made it an increasingly popular tool for uncertainty quantification. The scope of application has widened from the finite sample spaces considered by Bayes and Laplace to very high-dimensional systems, or even infinite-dimensional ones such as PDEs. It is natural to ask about the accuracy of Bayesian procedures from several perspectives: e.g., the ...

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## Selective inference in genetics Sabatti, Chiara | CIRM H

Multi angle

Research talks;Mathematics in Science and Technology;Probability and Statistics

Geneticists have always been aware that, when looking for signal across the entire genome, one has to be very careful to avoid false discoveries. Contemporary studies often involve a very large number of traits, increasing the challenges of "looking every-where". I will discuss novel approaches that allow an adaptive exploration of the data, while guaranteeing reproducible results.

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## Bayesian computation with INLA Rue, Havard | CIRM H

Multi angle

Research School

This talk focuses on the estimation of the distribution of unobserved nodes in large random graphs from the observation of very few edges. These graphs naturally model tournaments involving a large number of players (the nodes) where the ability to win of each player is unknown. The players are only partially observed through discrete valued scores (edges) describing the results of contests between players. In this very sparse setting, we present the first nonasymptotic risk bounds for maximum likelihood estimators (MLE) of the unknown distribution of the nodes. The proof relies on the construction of a graphical model encoding conditional dependencies that is extremely efficient to study n-regular graphs obtained using a round-robin scheduling. This graphical model allows to prove geometric loss of memory properties and deduce the asymptotic behavior of the likelihood function. Following a classical construction in learning theory, the asymptotic likelihood is used to define a measure of performance for the MLE. Risk bounds for the MLE are finally obtained by subgaussian deviation results derived from concentration inequalities for Markov chains applied to our graphical model. This talk focuses on the estimation of the distribution of unobserved nodes in large random graphs from the observation of very few edges. These graphs naturally model tournaments involving a large number of players (the nodes) where the ability to win of each player is unknown. The players are only partially observed through discrete valued scores (edges) describing the results of contests between players. In this very sparse setting, we ...

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## Bayesian nonparametric inference for multivariate Hawkes processes Rousseau, Judith | CIRM H

Multi angle

Research talks;Probability and Statistics

Les processus de Hawkes forment une classe des processus ponctuels pour lesquels l'intensité s'écrit comme :

$\lambda(t)= \int_{0}^{t^-} h(t-s)dN_s +\nu$

où $N$ représente le processus de Hawkes, et $\nu > 0$. Les processus de Hawkes multivariés ont une intensité similaire sauf que des interractions entre les différentes composantes du processus de Hawkes sont autorisées. Les paramètres de ce modèle sont donc les fonctions d'interractions $h_{k,\ell}, k, \ell \le M$ et les constantes $\nu_\ell, \ell \le M$. Dans ce travail nous étudions une approche bayésienne nonparamétrique pour estimer les fonctions $h_{k,\ell}$ et les constantes $\nu_\ell$. Nous présentons un théorème général caractérisant la vitesse de concentration de la loi a posteriori dans de tels modèles. L'intérêt de cette approche est qu'elle permet la caractérisation de la convergence en norme $L_1$ et demande assez peu d'hypothèses sur la forme de la loi a priori. Une caractérisation de la convergence en norme $L_2$ est aussi considérée. Nous étudierons un exemple de lois a priori adaptées à l'étude des interractions neuronales. Travail en collaboration avec S. Donnet et V. Rivoirard.
Les processus de Hawkes forment une classe des processus ponctuels pour lesquels l'intensité s'écrit comme :

$\lambda(t)= \int_{0}^{t^-} h(t-s)dN_s +\nu$

où $N$ représente le processus de Hawkes, et $\nu > 0$. Les processus de Hawkes multivariés ont une intensité similaire sauf que des interractions entre les différentes composantes du processus de Hawkes sont autorisées. Les paramètres de ce modèle sont donc les fonctions d'interractions ...

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## Bayesian computational methods Robert, Christian P. | CIRM H

Multi angle

Research School

This is a short introduction to the many directions of current research in Bayesian computational statistics, from accelerating MCMC algorithms, to using partly deterministic Markov processes like the bouncy particle and the zigzag samplers, to approximating the target or the proposal distributions in such methods. The main illustration focuses on the evaluation of normalising constants and ratios of normalising constants.

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## Exploring the presence of complex dependence structures in epidemiological and genomic data through flexible clustering Richardson, Sylvia | CIRM H

Multi angle

Research talks;Probability and Statistics

Faced with data containing a large number of inter-related explanatory variables, finding ways to investigate complex multi-factorial effects is an important statistical task. This is particularly relevant for epidemiological study designs where large numbers of covariates are typically collected in an attempt to capture complex interactions between host characteristics and risk factors. A related task, which is of great interest in stratified medicine, is to use multi-omics data to discover subgroups of patients with distinct molecular phenotypes and clinical outcomes, thus providing the potential to target treatments more precisely. Flexible clustering is a natural way to tackle such problems. It can be used in an unsupervised or a semi-supervised manner by adding a link between the clustering structure and outcomes and performing joint modelling. In this case, the clustering structure is used to help predict the outcome. This latter approach, known as profile regression, has been implemented recently using a Bayesian non parametric DP modelling framework, which specifies a joint clustering model for covariates and outcome, with an additional variable selection step to uncover the variables driving the clustering (Papathomas et al, 2012). In this talk, two related issues will be discussed. Firstly, we will focus on categorical covariates, a common situation in epidemiological studies, and examine the relation between: (i) dependence structures highlighted by Bayesian partitioning of the covariate space incorporating variable selection; and (ii) log linear modelling with interaction terms, a traditional approach to model dependence. We will show how the clustering approach can be employed to assist log-linear model determination, a challenging task as the model space becomes quickly very large (Papathomas and Richardson, 2015). Secondly, we will discuss clustering as a tool for integrating information from multiple datasets, with a view to discover useful structure for prediction. In this context several related issues arise. It is clear that each dataset may carry a different amount of information for the predictive task. Methods for learning how to reweight each data type for this task will therefore be presented. In the context of multi-omics datasets, the efficiency of different methods for performing integrative clustering will also be discussed, contrasting joint modelling and stepwise approaches. This will be illustrated by analysis of genomics cancer datasets.
Joint work with Michael Papathomas and Paul Kirk.
Faced with data containing a large number of inter-related explanatory variables, finding ways to investigate complex multi-factorial effects is an important statistical task. This is particularly relevant for epidemiological study designs where large numbers of covariates are typically collected in an attempt to capture complex interactions between host characteristics and risk factors. A related task, which is of great interest in stratified ...

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## Bayesian inference and mathematical imaging - Part 2: Markov chain Monte Carlo Pereyra, Marcelo | CIRM H

Multi angle

Research schools

This course presents an overview of modern Bayesian strategies for solving imaging inverse problems. We will start by introducing the Bayesian statistical decision theory framework underpinning Bayesian analysis, and then explore efficient numerical methods for performing Bayesian computation in large-scale settings. We will pay special attention to high-dimensional imaging models that are log-concave w.r.t. the unknown image, related to so-called “convex imaging problems”. This will provide an opportunity to establish connections with the convex optimisation and machine learning approaches to imaging, and to discuss some of their relative strengths and drawbacks. Examples of topics covered in the course include: efficient stochastic simulation and optimisation numerical methods that tightly combine proximal convex optimisation with Markov chain Monte Carlo techniques; strategies for estimating unknown model parameters and performing model selection, methods for calculating Bayesian confidence intervals for images and performing uncertainty quantification analyses; and new theory regarding the role of convexity in maximum-a-posteriori and minimum-mean-square-error estimation. The theory, methods, and algorithms are illustrated with a range of mathematical imaging experiments. This course presents an overview of modern Bayesian strategies for solving imaging inverse problems. We will start by introducing the Bayesian statistical decision theory framework underpinning Bayesian analysis, and then explore efficient numerical methods for performing Bayesian computation in large-scale settings. We will pay special attention to high-dimensional imaging models that are log-concave w.r.t. the unknown image, related to ...

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## Bayesian inference and mathematical imaging - Part 4: mixture, random fields and hierarchical models Pereyra, Marcelo | CIRM H

Multi angle

Research schools

This course presents an overview of modern Bayesian strategies for solving imaging inverse problems. We will start by introducing the Bayesian statistical decision theory framework underpinning Bayesian analysis, and then explore efficient numerical methods for performing Bayesian computation in large-scale settings. We will pay special attention to high-dimensional imaging models that are log-concave w.r.t. the unknown image, related to so-called “convex imaging problems”. This will provide an opportunity to establish connections with the convex optimisation and machine learning approaches to imaging, and to discuss some of their relative strengths and drawbacks. Examples of topics covered in the course include: efficient stochastic simulation and optimisation numerical methods that tightly combine proximal convex optimisation with Markov chain Monte Carlo techniques; strategies for estimating unknown model parameters and performing model selection, methods for calculating Bayesian confidence intervals for images and performing uncertainty quantification analyses; and new theory regarding the role of convexity in maximum-a-posteriori and minimum-mean-square-error estimation. The theory, methods, and algorithms are illustrated with a range of mathematical imaging experiments. This course presents an overview of modern Bayesian strategies for solving imaging inverse problems. We will start by introducing the Bayesian statistical decision theory framework underpinning Bayesian analysis, and then explore efficient numerical methods for performing Bayesian computation in large-scale settings. We will pay special attention to high-dimensional imaging models that are log-concave w.r.t. the unknown image, related to ...

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## Bayesian inference and mathematical imaging - Part 1: Bayesian analysis and decision theory Pereyra, Marcelo | CIRM H

Multi angle

Research schools

This course presents an overview of modern Bayesian strategies for solving imaging inverse problems. We will start by introducing the Bayesian statistical decision theory framework underpinning Bayesian analysis, and then explore efficient numerical methods for performing Bayesian computation in large-scale settings. We will pay special attention to high-dimensional imaging models that are log-concave w.r.t. the unknown image, related to so-called “convex imaging problems”. This will provide an opportunity to establish connections with the convex optimisation and machine learning approaches to imaging, and to discuss some of their relative strengths and drawbacks. Examples of topics covered in the course include: efficient stochastic simulation and optimisation numerical methods that tightly combine proximal convex optimisation with Markov chain Monte Carlo techniques; strategies for estimating unknown model parameters and performing model selection, methods for calculating Bayesian confidence intervals for images and performing uncertainty quantification analyses; and new theory regarding the role of convexity in maximum-a-posteriori and minimum-mean-square-error estimation. The theory, methods, and algorithms are illustrated with a range of mathematical imaging experiments. This course presents an overview of modern Bayesian strategies for solving imaging inverse problems. We will start by introducing the Bayesian statistical decision theory framework underpinning Bayesian analysis, and then explore efficient numerical methods for performing Bayesian computation in large-scale settings. We will pay special attention to high-dimensional imaging models that are log-concave w.r.t. the unknown image, related to ...

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## Big data for health: a Bayesian spatio-temporal analysis for predicting cardiac risk in Ticino and optimal defibrillators positioning Mira, Antonietta | CIRM H

Multi angle

Research talks

The term ‘Public Access Defibrillation’ (PAD) is referred to programs based on the placement of Automated External Defibrillators (AED) in key locations along cities’ territory together with the development of a training plan for users (first responders). PAD programs are considered necessary since time for intervention in cases of sudden cardiac arrest outside of a medical environment (out-of-hospital cardiocirculatory arrest, OHCA) is strongly limited: survival potential decreases from a 67% baseline by 7 to 10% for each minute of delay in first defibrillation. However, it is widely recognized that current PAD performance is largely below its full potential. We provide a Bayesian spatio-temporal statistical model for predidicting OHCAs. Then we construct a risk map for Ticino, adjusted for demographic covariates, that explains and forecasts the spatial distribution of OHCAs, their temporal dynamics, and how the spatial distribution changes over time. The objective is twofold: to efficiently estimate, in each area of interest, the occurrence intensity of the OHCA event and to suggest a new optimized distribution of AEDs that accounts for population exposure to the geographic risk of OHCA occurrence and that includes both displacement of current devices and installation of new ones. The term ‘Public Access Defibrillation’ (PAD) is referred to programs based on the placement of Automated External Defibrillators (AED) in key locations along cities’ territory together with the development of a training plan for users (first responders). PAD programs are considered necessary since time for intervention in cases of sudden cardiac arrest outside of a medical environment (out-of-hospital cardiocirculatory arrest, OHCA) is strongly ...

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