COLLOQUIUM MATHEMATICS, Prof. dr. A. van der Vaart (Leiden University, Scientific Director)
When: | Tu 24-04-2018 16:00 - 17:00 |
Where: | 5161.0293 (Zernike, Bernoulliborg) |
Title:
Bayesian uncertainty quantification
Abstract:
The Bayesian method in statistics consists of updating a prior probability
distribution over the set of parameters of interest to a conditional distribution
given the observed data. After reviewing how this works in the case of
a finite-dimensional parameter (as considered by Bayes, 1763), we give
some examples of the Bayesian method applied to infinite-dimensional
parameters, when prior and posterior distributions are probability distributions
over, for instance, a function space. A measure of centre of the posterior distribution
(typically the posterior mean or mode) is used as a best reconstruction of the true
parameter, while the spread in the posterior distribution should give some
indication of the remaining uncertainty of this reconstruction. We discuss
ways on how these two uses can be justified mathematically, and give some
examples of successes and failures. The talk will have a general character
and be based on insights obtained in the last 15 years.
Colloquium coordinators are Prof.dr. A.J. van der Schaft ( a.j.van.der.schaft rug.nl ),
Dr. A.V. Kiselev (e-mail: a.v.kiselev rug.nl )
http://www.rug.nl/research/jbi/news/colloquia/mathematics-colloquia/