a partial review of BISP8 [guest post]
Chris Drovandi (QUT) sent me his impression on BISP8 that just took place in Milano, Italia (BISP stands for Bayesian inference in stochastic processes):
Here is a review of some of the talks at BISP8. For the other talks I do not have sufficient background to give the talks the justice that they deserve. It was a very enjoyable small workshop with many talks in my areas of interest.
In the first session Vanja Dukic presented bayesian inference of SEIR epidemic DE models and state space models of google flu trends data. In the case of the state space models a particle learning algorithm was developed. The author considered both fixed and random effects for the data in each US state. In the second session, Murali Haran presented a likelihood-free approach for inferring the parameters of a spatio-temporal epidemic model. The speaker used a Gaussian process emulator of the model based on model simulations from a regulator grid of parameter values. The emulator approach is suggested to be less intensive in terms of the number of model simulations compared with abc but is only suitable for low dimensional inference problems (even less so than abc).
In the first session of day 2 Ana Palacios combined the gompertz model with Markov processes to create flexible and realistic stochastic growth models. The resulting model has a difficult likelihood and inference was performed by completing the likelihood creating simple Gibbs moves and by ABC.
There were 3 talks in a row on inference for SDEs. The first, by Simon Särkkä, avoids evaluating an intractable transition density by proposing from another diffusion model and computing importance weights using the girsanov theorem. Next, Samuel Kou used a population MCMC type approach where each chain had a different Euler discretisation. This helps improve mixing for the chain with the finest grid. Moves between chains are complicated by the different dimension for each chain. The author used a filling approach to overcome this. A very interesting aspect of the talk was using information from all chains to extrapolate various posterior quantiles to delta_t is 0 (no discretisation implying the correct posterior). I assume the extrapolation may not work as well for the extreme quantiles. The third talk, by Andrew Golightly, proposed an auxiliary approach to improve PMCMC for these models. This talk was the most technical (for me) so need more time to digest. Following my talk (based on some work here. And some current work.) was an applied talk using smc2 methodology.
On the final day Alexandros Beskos investigated the use of SMC for Bayesian inference for a high dimensional (static) parameter. SMC is advocated here due to the ease of adaptation relative to MCMC when there is no structure in the model. The base of the approach I believe was that of Chopin (2002).