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"

Summer School, CIRM, Sept. 17-21, 2001 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.


The format of the school  consists in 3 courses:

  • Gareth Roberts (Univ. of Lancaster): Advanced methods in Markov Chain Monte-Carlo
  • Peter Clifford (Jesus College, Oxford) and Hans Kuensch (ETH, Zurich): Particle filter methods  (tutor:  Christophe Andrieu, Bristol)
  • Neil Shephard (Nuffield College, Oxford): Computational methods for hidden markov processes and switching autoregressive processes (tutor: Mike Pitt, Warwick)
  • Monday Tuesday Wednesday Thursday Friday
    9h00 H. Kuensch G. Roberts P. Clifford E. Moulines O. Cappe / L. Jensen
    10h15 H. Kuensch N. Shephard P. Clifford N. Shephard F. Le Gland/M. Piccioni
    11h30 G. Roberts H. Kuensch N. Shephard P. Clifford Closing session
    12h30 Lunch Lunch Lunch Lunch Lunch
    14h00 Mixer C.P. Robert Mixer Mixer  
    16h00 G. Roberts P. Clifford G. Roberts P. Clifford  
    17h15 N. Shephard C. Andrieu H. Kuensch M. Pittt  
    18h30 N. Shephard C. Andrieu H. Kuensch M. Pitt  
    19h30 Dinner Dinner Dinner Dinner  
    21h00 Poster 1  Poster 2  

    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).

    The tee-shirts for the Summer School are still available, in limited amounts!

    Contact information

    Centre International de Rencontres Mathématiques
         163, Avenue de Luminy Case 916,
         F-13288 MARSEILLE Cedex 09, France
         Ph. : (33) 04 91 83 30 00 - Fax : Administration (33) 04 91 83 30 05 - Library (33) 04 91 83 30 17 - Lodgings  (33) 04 91 41 27 86
         e - mail :

        46 rue Barrault
        75634 Paris Cedex 13, France
        e-mail :

    Christian ROBERT
         CEREMADE, B. C638 Univ. P. Dauphine
         Pl. M. de Lattre de Tassigny
         75775 Paris Cedex 16, France
         Ph. : - Fax :
         e-mail :