skip to primary navigationskip to content
 

Centre for Financial Research - Statistics Seminar Series

When May 06, 2011
from 04:00 PM to 05:00 PM
Where MR12, CMS, Wilberforce Road, Cambridge, CB3 0WB
Contact Name
Add event to calendar vCal
iCal

Donald A. Pierce, Oregon Health & Science University Ruggero Bellio, Udine University, Italy

Title: Likelihood Inference and Bayesian MCMC

Much of Bayesian MCMC aims to be “objective” and hence is often strongly related to likelihood inference. A primary distinction between the two approaches involves whether nuisance parameters are maximized or integrated out of likelihood functions. This distinction has also been of interest in frequentist higher-order likelihood theory. In particular, there are various forms of adjustments to profile likelihood, aimed at reducing undesirable effects of fitting nuisance parameters. These adjustments are closely related to the distinction between profile likelihood and marginal posterior distributions under diffuse priors. We have explored using MCMC posterior samples on nuisance parameters to adjust posterior distributions for approximating profile likelihood, which differs from using special non-Bayesian MCMC methods to calculate the likelihood. However, the best of frequentist modified profile likelihoods can improve on the profile, and we also explore using MCMC to approximate these. This involves representing nuisance parameters orthogonally to interest parameters, in a sense stronger than usual. These issues seem also related to marginalization difficulties in fiducial inference.

More information about this event…

« December 2018 »
December
MoTuWeThFrSaSu
12
3456789
10111213141516
17181920212223
24252627282930
31

RSS Feed Latest news

Winners of the Best Student Paper Award 2018 announced

Aug 21, 2018

Cambridge Finance is proud to announce the winners of the Best student Paper Award for 2017-2018

View all news

Upcoming events

Cambridge Finance Workshop - Jean-Edouard Colliard

Jan 24, 2019

Room W4.05, Cambridge Judge Business School

Cambridge Finance Workshop -Naomi R. Lamoreaux

Feb 07, 2019

W2.02, Cambridge Judge Business School

Previous events

Upcoming events