Summer School on Advanced Computational Methods for Statistical Inference

September 17-21, 2001, CIRM, Luminy Marseille

Ecole parrainée par le groupe Modélisation Aléatoire et Statistique

The summer school is funded by the European Union's TMR network "Statistical and Computational Methods for the Analysis of Spatial Data. ERB-FMRX-CT96-0096"

Goals
 
 

The purpose of this 5 day Summer School is to bring together senior researchers on the topic of recent advances in computational methods, with applications to complex statistical problems, like those encountered in econometrics, signal processing and finance, and to introduce Ph.D. students and junior researchers to these methods.  New methods are currently appearing in the field of Computational Statistics which go beyond standard MCMC algorithms, taking advantage of earlier works on importance sampling (auxiliary variables, stratified sampling) and particle systems, the later being mainly studied in probability theory and statistical physics so far. Different simulation methods have also been devised for the analysis of continuous-time stochastic processes, in particular in connection with stochastic differential equations. The applications of these methods in various fields are also undergoing a rapid growth: see for instance the use of particle filters in target tracking and image analysis, advanced signal processing, quantitative finance and econometrics. At the same time, the study of the convergence properties of MCMC algorithms undergoes tremendous changes and can lead to considerable improvements in the selection of MCMC samplers. The School was animated by four leading figures in the field of Computational Statistics, P. Clifford, H. Kuensch, G. Roberts and N. Shephard, seconded by C. Andrieu and M. Pittt, who also are international experts in the fields of MCMC and particle filter algorithms.  The School is part of the activities of the European network "Statistical and Computational Methods for the Analysis of Spatial Data", which was devoted to the development of new computational methods and whose members have considerably improved the field during the operations of the network, ending up this year 2001.

Program

The format of the school  consists in 3 courses:

• The slides of the courses are available:
• C. Andrieu : Tutorial (in gzipped postcript format)
• O. Cappe : Lecture (in pdf format)
• P. Clifford :   Lectures (in gzipped postcript format)
• H. Kuensch :   Lectures (in gzipped postcript format)
• F. Le Gland :   Lecture (in gzipped postcript format)
• E. Moulines : Lecture (in pdf format)
• M. Pitt : Lecture 1 and Lecture 2 (in pdf format) and  Lecture1 (in gzipped postcript format)
• C. Robert :   Tutorial (in gzipped postcript format)
• G. Roberts :  Lectures (in gzipped postcript format)
• N. Shephard : Lecture 1 and Lecture 2 (in pdf format)
• See the site of H. Kuensch for handouts as well as the file semstat.ps which contains similar, more detailed, but slightly older material. This has appeared in Complex Stochastic Systems, eds. C. Klueppelberg et al., Chapman and Hall. [Note that the ftp site allows access for at most 10 people at the same time.]
• Get the file bookrefs.ps for the classes of G. Roberts, taken directly from the current version of his book, which contain most if not all of the references he will use.

 
• All the participants of the school are invited to present their work during either the poster sessions or the open sessions (that will be arranged depending on the demand). The organizers strongly encourage all participants to present their work and bring corresponding material for poster presentation or short talk.

 
• The mixer sessions are reserved for informal interraction among the participants. There are many possible outdoors activities (including walking to the Calanques in about 20 minutes), but nothing will be formally organized during this time slot.

Practical informations

CIRM stands for Centre International de Recherche en Mathématique and is operated by the Société de Mathématique de France, with support from the CNRS. In short, it is the French equivalent of Obberwolfach in Germany, in that it houses Math conferences all year long, has a reasonable library, computer facilities, a conference room that can accommodate 60 persons, and offers meals and housing. For security reasons, children cannot be housed by the center: a list of nearby hotels is available upon request . The center has a web page providing full description of its facilities, as well as directions on how to reach the Center from either the train station Saint Charles or the airport (Marseille-Provence).

Contact information

Eric MOULINES
    ENST
    46 rue Barrault
    75634 Paris Cedex 13, France
    Ph.: 01.45.81.77.03
    e-mail : moulines@tsi.enst.fr

Christian ROBERT
     CEREMADE, B. C638 Univ. P. Dauphine
     Pl. M. de Lattre de Tassigny
     75775 Paris Cedex 16, France
     Ph. : 01.41.17.57.69 - Fax : 01.41.17.64.80
     e-mail : xian@ceremade.dauphine.fr