Statistics Seminar
| Date/Time: | Monday, 20 Oct 2014 from 4:10 pm to 5:00 pm |
|---|---|
| Location: | Snedecor 3105 |
| Cost: | Free |
| URL: | www.stat.iastate.edu |
| Contact: | Jeanette La Grange |
| Phone: | 515-294-3440 |
| Channel: | College of Liberal Arts and Sciences |
| Categories: | Lectures |
| Actions: | Download iCal/vCal | Email Reminder |
I will begin my talk mentioning my research interests in Markov chain Monte Carlo (MCMC) and other fields. Then I will describe a specific MCMC algorithm called the data augmentation (DA) algorithm. DA algorithms often suffer from slow convergence. The sandwich algorithm is an alternative to the DA algorithm that uses an extra simulation step at each iteration. Empirical evidence suggests that sandwich algorithm converges faster than the DA algorithm. I will present two theoretical results comparing the DA and sandwich algorithms. As an example, I will consider a widely used DA algorithm and its sandwich variant for the exploration of posterior densities associated with Bayesian mixture models.