GAUSSIAN MARKOV RANDOM FIELDS: AN INTRODUCTION

Faculty of Medicine

Imperial College London

St. Mary's Campus, London

9:00 - 17:00, 29-30 September 2008

Course instructor

Prof. Håvard Rue, Norwegian University of Science and Technology

Course outline

This course is aimed at PhD students and other academic staff who want to understand and learn to apply and make use of Gaussian Markov Random Fields (GMRFs) in Bayesian latent models.

The main motivation for GMRFs is its appliations to structured additive regression models. These include (generalised) linear (mixed) models, (generalised) additive (mixed) models, smoothing-spline models, state-space models, semiparametric regression models, spatial and spatio-temporal models, log-Gaussian Cox-processes, geostatistical and geoadditive models. In near all applications of these models, the latent field is Gaussian. This enables us to treat all these models in the same framework, which we name latent Gaussian models. In near all cases the latent Gaussian is also a GMRF, so then we can take advantage of the nice computational properties of GMRFs and derive fast(er) inference algorithms using sparse matrix algorithms.

This allows for very quick Bayesian inference using integrated nested Laplace approximations. These deterministic approximations give ``practically exact'' results compared to their MCMC alternatives, in just a small fraction of the time.

This course will discuss GMRFs in general, how to do computation with GMRFs using sparse matrix calculations, and MCMC and non-MCMC based Bayesian inference for latent Gaussian models with examples. A tutorial will be given using the `inla' program and its R-interface.

Course requirements

Some background in Bayesian statistics, modelling and computational based inference.

Location

The course will take place in the MSc room of the Division of Epidemiology, Public Health and Primary Care of the Faculty of Medicine and the participants will be able to use these facilities. Note that this is in the Faculty of Medicine, Imperial College London at St. Mary's Campus, and NOT in the main campus in South Kensington.

The complete address is

Faculty of Medicine
Imperial College London
St. Mary's Campus, Norfolk Place
W2 1PG London - UK

More information on how to arrive can be found at http://www1.imperial.ac.uk/medicine/contacts/campuses/stmarys/

Booking and course fees

Early bird- by July 31st 2008

Late registration - After July 31st 2008

This includes the course materials, refreshment and lunch.

In order to book a place for the course, you should contact Sara Geneletti (s.geneletti@imperial.ac.uk).

Summary of course contents

Day 1 Day 2

Course Materials