Dea MASE 2000/2001
- Modeles a variables latentes - Ch. Robert
Le cours couvre divers aspects des
modeles a variables latentes, au travers d'articles representant les travaux
recents sur ces modeles. Chaque article sera disponible en seance et servira
de base a l'introduction de nouvelles (?) notions.
Articles prevus:
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18/12/00: Dupuis,
J.A. (1995)
Bayesian estimation of movement probabilities
in open populations using hidden
Markov chains. Biometrika 82(4), 761-772.
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08/01/01: Dempster,
A.P., Laird, N.M. and>Dempster,
A.P., Laird, N.M. and Rubin, D.B. (1977) Maximum
likelihood from
incomplete data via the EM algorithm
(with discussion). J. Royal Statis. Society 39, 1-38.
Meng, X.L. and van Dyk, D.A.
(1997) The EM algorithm - an old
folk-song sung to a new tune (with
discussion). J. Royal Statis. Society 59, 511-568.
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15/08/01: Diebolt,
J. and Robert, C.P. (1994) Estimation of finite
mixture distributions by Bayesian
sampling. J. Royal Statis. Society 56, 363-375.
Celeux, G., Hurn, M. and Robert, C.P. (2000)
Computational and inferential
difficulties with mixture posterior distributions. J.
American Statist. Assoc. 95 957-970
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22/01/01: 22/01/01: Pas
de seance!
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29/01/01: Richardson,
S. and Green, P.J. (1997) On Bayesian analysis of
mixtures with an unknown number of components (with discussion).
J. Royal Statis. Society 59,
731-792.
Stephens, M. (2000) Bayesian methods for
mixtures of normal distributions.
Ann. Statist. 28, 40-74.
-
05/02/01: Juang, B.H. and Rabiner,
L.R. (1991) Hidden Markov models for
speech recognition. Technometrics 33,
251-272.
Robert, C.P. and Titterington, M. (1998)
Reparameterisation strategies
for hidden Markov models and Bayesian approaches to maximum
likelihood
estimation. Statistics and Computing 8(2),
145--158.
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12/02/01: Pas de seance!Pas de seance!
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19/02/01: Pas
de seance!
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26/02/01: Shephard,
N. (1994) Partial non-Gaussian state space.
Biometrika 81,
115-131.
Kim, S., Shephard, N. and Chib, S. (1998)
Stochastic volatility:
Likelihood inference and comparison
with ARCH models. Rev. Econom.
Stud. 65, 361-393.
Livres de reference:
Titterington, D.M., Smith, A.F.M. and
Makov, U.E. (1985)
Statistical Analysis
of Finite Mixture Distributions. J. Wiley
MacDonald, I. and Zucchini, W. (1997)
Hidden Markov and Other
Models for Discrete-valued Time Series.
Chapman & Hall
McLachlan, G. and Peel, D.
(2000)
Finite Mixture Models.
J. Wiley