**Date & Time:** Wednesday, August 06, 2014, 16:00-17:00.

**Venue:** Ramanujan Hall

**Speaker:** Krishna B. Athreya, Iowa State University

**Title:** Regenerative sequence Monte Carlo methods for improper target distributions

**Abstract:**
If $\pi$ is a probability distribution on some set $S$ and
$f$ is a real valued function with $E|f(X)|<\infty$ where $X$ is a
random variable with distribution $\pi$ then the parameter
$\lambda=Ef(X)$ can be estimated using either IID Monte Carlo (IIDMC)
or Markov chain Monte Carlo (MCMC) methods. In this talk we describe a new monte carlo procedure
called RSMC (Regenerative sequence monte carlo) for this problem and
show it works for the case whether $\pi$ is proper, i.e, $\pi(S)
<\infty$ or not proper, i.e, $\pi(S)=\infty$. We illustrate this with
estimating a convergent infinite series and an integral over $R$ with
respect to Lebesgue measure. We also provide a confidence interval for
$\lambda$.