Nested Sampling for Rare Event Estimation

The next statistics seminar will be presented by Dr Philipp Wacker from the University of Canterbury.

Title: Nested Sampling for Rare Event Estimation
Speaker: Dr Philipp Wacker
Time and location : 2-3pm in Carslaw 173 or Zoom
Abstract :

Rare event estimation (i.e., quantifying the probability that a rare but critical event occurs) is a difficult problem in computational statistics. We will talk about Nested Sampling as a numerical method to perform rare event estimation. Nested Sampling can be interpreted as a “Lebesgue-style” Monte Carlo integration, because it discretises the level sets of the integrated rather than the integration domain (which is what most Monte Carlo methods implicitly do).