[ABE-L] Seminário de Probabilidade - IM-UFRJ - 7/03/22

[Maria Eulalia Vares]

*Probability Seminar -   IM-UFRJ *



Dear colleagues,



Our next seminar will be held on Monday, *March 7, * from *3 p.m. to 4 p.m*.
(Rio de Janeiro local time).

We will be using the platform Zoom and the link is:

https://us02web.zoom.us/j/83698166702?pwd=ejFxYmh3dVk5b3J3SG0wMWxEVnVrUT09

Speaker:  *Guilherme Ost  (IM-UFRJ)*

Title: *Sparse Markov Models for High-dimensional Inference*

Abstract:  Finite order Markov models are theoretically well-studied models
for dependent categorical data. Despite their generality, application in
empirical work when the order is larger than one is quite rare.
Practitioners avoid using higher order Markov models because (1) the number
of parameters grows exponentially with the order, (2) the interpretation is
often difficult. Mixture of transition distribution models (MTD) were
introduced to overcome both limitations. MTD represent higher order Markov
models as a convex mixture of single step Markov chains, reducing the
number of parameters and increasing the interpretability. Nevertheless, in
practice, estimation of MTD models with large orders is still limited
because of the curse of dimensionality and high algorithm complexity. Here,
we prove that if only few lags are relevant we can consistently and
efficiently recover the lags and estimate the transition probabilities of
high order MTD models. The key innovation is a recursive procedure for the
selection of the relevant lags of the model. Our results are based on (1) a
new structural result of the MTD and (2) an improved martingale
concentration inequality. Our theoretical results are illustrated through
simulations.

This is a joint work with Daniel Y. Takahashi (Ice/UFRN).



All the talks are held in English.

More complete information about the seminars will be available at

http://www.dme.ufrj.br/?page_id=2438

Those who do not wish to receive our next announcements may simply send an
email to  <eulalia em im.ufrj.br>  asking to be removed from the list.

Thanks for circulating this information.

Sincerely,

Organizers: Giulio Iacobelli and Maria Eulalia Vares





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