Archive for Hedibert Lopes

Hedibert’s seminar

Posted in Running, Statistics, University life with tags , , , , on June 7, 2011 by xi'an

For ‘Og’s readers in the Paris area, note there will be a seminar given by Hedibert Lopes from the University of Chicago Booth School of Business on June 9th at the Big MC seminar:

Parsimonious Bayesian Factor Analysis when the Number of Factors is Unknown
We introduce a new and general set of identifiability conditions for factor models which handles the ordering problem associated with current common practice. In addition, the new class of parsimonious Bayesian factor analysis leads to a factor loading matrix representation which is an intuitive and easy to implement factor selection scheme. We argue that the structuring the factor loadings matrix is in concordance with recent trends in applied factor analysis. Our MCMC scheme for posterior inference makes several improvements over the existing alternatives while outlining various strategies for conditional posterior inference in a factor selection scenario. Four applications, two based on synthetic data and two based on well known real data, are introduced to illustrate the applicability and generality of the new class of parsimonious factor models, as well as to highlight features of the proposed sampling schemes. (Joint work with Sylvia Fruhwirth-Schnatter, Univ. of Linz – Austria).

The seminar is at 3pm (maybe a wee later if I am running late, as I am registered for the annual 10k Bercy race two hours before in the Bois de Vincennes!), at Institut Henri Poincaré. It will be followed by a second seminar by Andreas Eberle on the Metropolis-adjusted Langevin algorithm, MALA (a topic my coauthor Natesh Pillai recently worked on. A pity he only arrives in Paris the next Monday and thus misses the talk!)

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