<html><head><meta http-equiv="content-type" content="text/html; charset=utf-8"></head><body dir="auto"><div><br><br>Sent from Hedibert's iPhone</div><div><br>Begin forwarded message:<br><br></div><blockquote type="cite"><div><b>From:</b> Hedibert Freitas Lopes <<a href="mailto:HedibertFL@insper.edu.br">HedibertFL@insper.edu.br</a>><br><b>Date:</b> June 27, 2016 at 4:29:02 PM GMT-3<br><b>To:</b> "<a href="mailto:paloma.uribe@gmail.com">paloma.uribe@gmail.com</a>" <<a href="mailto:paloma.uribe@gmail.com">paloma.uribe@gmail.com</a>>, Hedibert Lopes <<a href="mailto:hedibert@gmail.com">hedibert@gmail.com</a>><br><b>Subject:</b> <b>Fwd: LEMBRETE: Seminário Acadêmico de Economia com Flávio Bambirra Gonçalves da UFMG, dia 28/06 às 12h, sala Paulo Renato de Souza - 2º andar</b><br><br></div></blockquote><div><span></span></div><blockquote type="cite"><div> <meta http-equiv="Content-Type" content="text/html; charset=utf-8"> <div><br> <br> Sent from Hedibert's iPhone</div> <div><br> Begin forwarded message:<br> <br> </div> <blockquote type="cite"> <div><b>From:</b> Insper - Seminários Acadêmicos <<a href="mailto:seminariosacademicos@insper.edu.br">seminariosacademicos@insper.edu.br</a>><br> <b>Date:</b> May 24, 2016 at 9:48:40 AM GMT-3<br> <b>To:</b> Insper - Seminários Acadêmicos <<a href="mailto:seminariosacademicos@insper.edu.br">seminariosacademicos@insper.edu.br</a>><br> <b>Subject:</b> <b>LEMBRETE: Seminário Acadêmico de Economia com Flávio Bambirra Gonçalves da UFMG, dia 28/06 às 12h, sala Paulo Renato de Souza - 2º andar</b><br> <br> </div> </blockquote> <div><span></span></div> <blockquote type="cite"> <div> <meta name="Generator" content="Microsoft Word 14 (filtered medium)"> <style></style> <div class="WordSection1"> <div align="center"> <table class="MsoNormalTable" border="0" cellspacing="0" cellpadding="0" width="607" style="width:455.25pt"> <tbody> <tr> <td style="background:white;padding:0cm 0cm 0cm 0cm"> <p class="MsoNormal"><span style="mso-fareast-language:PT-BR"><img width="600" height="165" id="Imagem_x0020_6" src="cid:image001.png@01D14EEC.5B6AF680" alt="cid:image001.png@01D14EEC.5B6AF680"></span><span style="font-size:12.0pt"><o:p></o:p></span></p> </td> </tr> <tr> <td style="background:white;padding:0cm 0cm 0cm 0cm"> <table class="MsoNormalTable" border="0" cellspacing="0" cellpadding="0" width="100%" style="width:100.0%"> <tbody> <tr> <td style="padding:0cm 0cm 15.0pt 0cm"> <table class="MsoNormalTable" border="0" cellpadding="0"> <tbody> <tr> <td valign="top" style="padding:.75pt 26.25pt .75pt 37.5pt"> <p class="MsoNormal"><b><span lang="EN-US" style="font-size:13.5pt;font-family:"Verdana","sans-serif";color:#C00026;mso-fareast-language:PT-BR">An infinite-dimensional MCMC for exact Bayesian inference in jump-diffusion processes<o:p></o:p></span></b></p> <p class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin-bottom-alt:auto"><b><span lang="EN-US" style="font-size:10.5pt;font-family:"Verdana","sans-serif";color:#333333;mso-fareast-language:PT-BR">Palestrante:</span></b><span lang="EN-US" style="font-size:10.5pt;font-family:"Times New Roman","serif";color:#333333;mso-fareast-language:PT-BR"><o:p></o:p></span></p> <p class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin-bottom-alt:auto"><span style="font-size:10.5pt;font-family:"Verdana","sans-serif";color:#333333">Flávio Bambirra Gonçalves</span><span style="font-size:10.0pt;font-family:"Verdana","sans-serif";color:#333333"><br> </span><span style="font-size:8.0pt;font-family:"Verdana","sans-serif";color:#333333">UFMG</span><span style="font-size:10.0pt;font-family:"Verdana","sans-serif";color:#333333"><o:p></o:p></span></p> <table class="MsoNormalTable" border="0" cellspacing="0" cellpadding="0" width="480" style="width:360.0pt"> <tbody> <tr> <td style="background:#E6E7E8;padding:12.75pt 12.75pt 12.75pt 12.75pt"> <p class="MsoNormal" style="text-align:justify"><span style="font-size:10.0pt;font-family:"Verdana","sans-serif";color:#333333">Jump-diffusions have considerable appeal as flexible families of stochastic models. Making statistical inference based on discrete observations of such processes is a complex and challenging problem. </span><span lang="EN-US" style="font-size:10.0pt;font-family:"Verdana","sans-serif";color:#333333">Its infinite-dimensional nature has required from existing inference methodologies the use of discrete approximations that, naturally, represent a considerable source of error. </span><span style="font-size:10.0pt;font-family:"Verdana","sans-serif";color:#333333">In this talk, we rely on a novel algorithm to perform exact simulation of jump-diffusions bridges as the basis to develop an MCMC algorithm to make inference for jump-diffusion processes. The resulting infinite-dimensional Markov chain has the exact posterior distribution of the parameters and missing paths as its invariant distribution. More specifically, it is a Gibbs Sampling with Barker’s steps. The methodology is exact in the sense that it is free of discretisation error and Monte Carlo error is the only source of inaccuracy. The exactness feature is related to the simulation of events of unknown probability. A simulated example is presented to illustrate the methodology.</span><span lang="EN-US" style="font-size:10.0pt;font-family:"Verdana","sans-serif""><o:p></o:p></span></p> </td> </tr> </tbody> </table> </td> </tr> <tr> <td valign="top" style="padding:7.5pt .75pt .75pt 33.75pt"> <table class="MsoNormalTable" border="0" cellspacing="1" cellpadding="0" width="535" style="width:401.25pt"> <tbody> <tr> <td width="59" valign="top" style="width:44.25pt;padding:3.75pt 3.75pt 3.75pt 3.75pt"> <p class="MsoNormal"><b><span style="font-size:10.0pt;font-family:"Verdana","sans-serif";color:#333333">Data:</span></b><span style="font-size:12.0pt"><o:p></o:p></span></p> </td> <td width="453" valign="top" style="width:339.75pt;background:white;padding:3.75pt 3.75pt 3.75pt 3.75pt"> <p class="MsoNormal"><span style="font-size:10.0pt;font-family:"Verdana","sans-serif";color:#333333">28 de junho de 2016 (terça-feira)</span><span style="font-size:12.0pt"><o:p></o:p></span></p> </td> </tr> <tr> <td width="59" valign="top" style="width:44.25pt;padding:3.75pt 3.75pt 3.75pt 3.75pt"> <p class="MsoNormal"><b><span style="font-size:10.0pt;font-family:"Verdana","sans-serif";color:#333333">Horário:</span></b><span style="font-size:12.0pt"><o:p></o:p></span></p> </td> <td valign="top" style="background:white;padding:3.75pt 3.75pt 3.75pt 3.75pt"> <p class="MsoNormal" style="mso-margin-top-alt:auto;mso-margin-bottom-alt:auto"><span style="font-size:10.0pt;font-family:"Verdana","sans-serif";color:#333333;mso-fareast-language:PT-BR">12</span><span style="font-size:10.0pt;font-family:"Verdana","sans-serif";color:#333333">h</span><span style="font-size:12.0pt;font-family:"Times New Roman","serif";mso-fareast-language:PT-BR"><o:p></o:p></span></p> </td> </tr> <tr> <td width="59" valign="top" style="width:44.25pt;padding:3.75pt 3.75pt 3.75pt 3.75pt"> <p class="MsoNormal"><b><span style="font-size:10.0pt;font-family:"Verdana","sans-serif";color:#333333">Local:</span></b><span style="font-size:12.0pt"><o:p></o:p></span></p> </td> <td valign="top" style="background:white;padding:3.75pt 3.75pt 3.75pt 3.75pt"> <p class="MsoNormal"><i><span style="color:#333333">Campus</span></i><span style="font-size:10.0pt;font-family:"Verdana","sans-serif";color:#333333"> Insper</span><br> <span style="font-size:10.0pt;font-family:"Verdana","sans-serif";color:#333333">Rua Quatá, 300 - 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