[ABE-L] Seminário DEST/UFMG em 03/05/2024

[Marcos Prates]

Caros,

Na próxima sexta-feira (03 de Maio, às 13:30h) o ciclo de Seminários do
Departamento de Estatística da UFMG terá a apresentação do prof. Håvard Rue
da King Abdullah University of Science and Technology (KAUST) - Arábia
Saudita.

Håvard Rue is a professor of Statistics at CEMSE Division, at the King
Abdullah University of Science and Technology in Saudi Arabia, since 2017,
and before that a professor at the Department of Mathematical Sciences at
the Norwegian University for Science and Technology. He was named a highly
cited researcher according to the Highly Cited Researchers in the years
2019--2021, from the Web of Science Group. He gave the Bahadur Memorial
Lectures at Univ of Chicago in 2018, and in 2021 he was awarded the Royal
Statistical Society (RSS) Guy Medal in Silver for his work on Integrated
Nested Laplace Approximations (INLA) and the Stochastic Partial
Differential Equation (SPDE) approach represent and compute with Gaussian
fields. His research is mainly centered around the "R-INLA project", see
www.r-inla.org.

Title: Cross-validation for dependent data

I will discuss our new take on cross-validation (CV) for dependent data.
Traditional use of CV, like leave-one-out CV, is justified using
independence-like assumptions. With dependent data, then leave-one-out CV
make less sense, as we are evaluating interpolation properties rather than
prediction properties. We can adapt the CV idea to dependent data, by
removing a set of "near-by" data-points (to be defined), before predicting,
but the issue is then how to do this in
practice, which is less evident for more involved models. I will discuss
our approach in the context of Latent Gaussian Models (LGM) where we can
automatically can select appropriate groups of data to remove before
predicting one data point. I will also discuss some new results about
group-CV for log-Gaussian Cox processes. The new group-CV approach is
available in the R-INLA package.

O seminário será transmitido ao vivo pelo canal do Youtube "Seminários DEST
- UFMG".

https://www.youtube.com/@seminariosdest-ufmg

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