[ABE-L] Hedibert Lopes no IMPA

[Roberto Imbuzeiro Moraes Felinto de Oliveira]

Caros,

Daqui a uma semana teremos a palestra abaixo no IMPA, que pode ser de
interesse para os membros desta lista.

Título: Bayesian learning in high-dimensional state-space models
Expositor: Hedibert Lopes (INSPER, São Paulo)
Data: Quarta-feira, 17 de abril de 2019, 15:30
Local: IMPA, Sala 228
Resumo: Applied Bayesian Statistics has benefited greatly from the
avalanche of Monte Carlo-based tools for approximate posterior
inference in highly complex and structured scientific models. From
environmental and health studies to financial applications, virtually
all areas of science where evidence-based scrutiny is mandatory to
validate scientific hypotheses have benefitted from such technological
explosion.

My research also exemplifies these trends. I will discuss work on
high-dimensional state-space models with particular attention to
time-varying covariance learning. In one direction, my co-authors and
I deal with the curse of dimensionality via parameter reduction, such
as those found in the factor modelling literature. In another
direction, we heavily regularize the estimation of parameters. I will
review the challenges we faced when dealing with such high-dimensional
state-space models. Two or three motivating examples from my recent
research will be used throughout the talk. I finish with a few
directions of my future research in these and related areas.

-- 
Roberto Imbuzeiro Oliveira
Professor, IMPA
rimfo em impa.br, rob.oliv em gmail.com
sites.google.com/view/roboliv