Dr Martin Janzura
Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Prague
The pseudo-likelihood principle in statistical inference
Abstract: For large stochastic systems the standard methods of
statistical inference based on the maximum likelihood approach meet problems
that make their implementation hardly possible. The pseudo-likelihood approach,
dealing with small-dimensional conditional marginals, can avoid these
fundamental difficulties. The derived methods are not strictly optimal (there is
a decrease of efficiency in parameter estimation, and a slower rate of
convergence in hypothesis testing), but they are good enough and the numerical
feasibility is crucial.
Tid och plats måndagen den 25 mars kl 15.15 - 17.00 i seminarierum 3733, Institutionen för matematik, KTH, Lindstedtsvägen 25, plan 7.