What is BiiPS?
BiiPS is a general software for Bayesian inference with interacting particle systems, a.k.a. sequential Monte Carlo (SMC) methods. It aims at popularizing the use of these methods to non-statistician researchers and students, thanks to its automated “black box” inference engine.
Unlike MCMC methods used by BUGS/JAGS, SMC methods are more adapted to dynamic problems (tracking, signal filtering, etc).
BiiPS software is under development. Download the latest beta version.
Fifth IMS-ISBA joint meeting MCMSki IV
We will participate to a session focused on Recent Developments in Software for MCMC (and SMC).
Abstract of the session:
This invited panel features four leading researchers working on software development for Bayesian computation. Each panelist will highlight their particular software, including its history, development, and relative strengths and weaknesses. Looking forward, panelists will discuss and debate the future of Bayesian computation and software development, including challenges, opportunities and bottlenecks. Emphasis throughout will be on simplifying and automating the implementation of Monte Carlo methods, with an eye towards scalability to larger and more complex models and data.
Workshop Sequential Monte Carlo methods and Efficient simulation in Finance
We will give a talk about BiiPS software and examples of application to financial econometrics.