Presenter:
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George Casella
Department of Statistics and Genetics Institute
University of Florida
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Abstract |
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The course will be based on material from Introducing Monte Carlo Methods with R, Robert and Casella, Springer-Verlag 2009. Copies of all slides will be provided, as well as all R code. There is already an R package on CRAN, mcsm, which contains all of the R code from the book.
Topics that will be covered include:
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Introduction to R
- Review of Basic R syntax and functions
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Random Variable Generation
- Generating uniform random variables, transformation methods, accept-reject
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Monte Carlo Integration
- Classical, importance sampling, and others
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Monte Carlo Optimization
- EM and related algorithms
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The Metropolis Hastings Algorithm
- The basic M-H algorithm and many variations and an introduction to Markov chains
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Gibbs Samplers
- The basic Gibbs sampler and many variations including the multi-stage sampler and hierarchical models
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Diagnosing Convergence
- Methods for detecting convergence of MCMC chains
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Biographical Sketch |
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George Casella is Distinguished Professor in the Department of Statistics, and Distinguished Member of the Genetics Institute, at the University of Florida. He is active in many aspects of statistics, having contributed to theoretical statistics in the areas of decision theory and statistical confidence, to environmental statistics, and has more recently concentrated efforts in statistical genomics and political science methodology. He also maintains active research interests in the theory and application of Monte Carlo and other computationally intensive methods. He is a Fellow of the American Statistical Association, the Institute of Mathematical Statistics, and an Elected Fellow of the International Statistics Institute. He has been listed as an ISI "Highly Cited researcher", and has recently been elected Foreign Member of the Spanish Royal Academy of Sciences.
In other capacities, Casella has also served as Theory and Methods Editor of the Journal of the American Statistical Association, 1996-1999, Executive Editor of Statistical Science, 2002-2004, and is currently Joint Editor the Journal of the Royal Statistical Society, Series B. He has served on the Board on Mathematical Sciences of the National Research Council, 1999-2003, and many other committees of the American Statistical Association and the Institute of Mathematical Statistics. Casella has authored seven textbooks: Variance Components, 1992, with S. R. Searle and C. E. McCulloch; Theory of Point Estimation, Second Edition, 1998, with Erich Lehmann, Statistical Inference Second Edition, 2001, with Roger Berger; Monte Carlo Statistical Methods, Second Edition, 2004, with Christian Robert; Statistical Analysis of Quantitative Traits, 2007, with C. X. Ma and R. Wu, Statistical Design, 2008, and An Introduction to Monte Carlo Methods with R, with Christian Robert.
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