Seminar: Non- and semi-parametric construction of stationary dependent models

SpeakerJuan Carlos Martinez-Ovando
AffiliationBanco de México
DateThursday, 29 Nov 2012
Time13:00 - 14:30
LocationBedford Way LG04
Event seriesDeepMind CSML Seminar Series

In this talk we present a procedure to constructing stationary dependent models based on latent probability measures. The idea focuses in developing first-order dependent models from particular conditional independence structures. We address the idea with the introduction of a fully non-parametric Markov model in discrete time, as well with some other extensions incorporating exogenous interventions and multivariate versions in a semi-parametric setting. We also sketch some ideas to perform inference and predictions within the Bayesian framework.

(Joint work with Stephen G. Walker, U. Kent)

Slides for the talk: PDF

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