Theoretical Statistics and Mathematics Unit, ISI Delhi

January 28, 2015 (Wednesday) ,
3:30 PM at Webinar

Speaker:
K. B. Athreya,
Iowa State University, USA

Title:
Statistical estimation of integrals w.r.t. infinite measures.

Abstract of Talk

Statistical estimation of integrals w.r.t probability
measures is well known in the literature using either iid mc
or mcmc. In this talk we introduce a new method namely
Regenerative sequence monte carlo (RSMC) to do the same
for infinite measures. We provide both point estimates and
interval estimates. We illustrate this with estimating
infinite series by SSRW and estimating integrals on $R$ w.r.t
Lebesgue measure using standard Brownian motion. This talk is
based on joint work with Vivek Roy of Iowa State University