@article{KlebanovSikorskiSchuetteetal., author = {Klebanov, Ilja and Sikorski, Alexander and Sch{\"u}tte, Christof and R{\"o}blitz, Susanna}, title = {Objective priors in the empirical Bayes framework}, series = {Scandinavian Journal of Statistics}, volume = {48}, journal = {Scandinavian Journal of Statistics}, number = {4}, publisher = {Wiley Online Library}, doi = {10.1111/sjos.12485}, pages = {1212 -- 1233}, abstract = {When dealing with Bayesian inference the choice of the prior often remains a debatable question. Empirical Bayes methods offer a data-driven solution to this problem by estimating the prior itself from an ensemble of data. In the nonparametric case, the maximum likelihood estimate is known to overfit the data, an issue that is commonly tackled by regularization. However, the majority of regularizations are ad hoc choices which lack invariance under reparametrization of the model and result in inconsistent estimates for equivalent models. We introduce a nonparametric, transformation-invariant estimator for the prior distribution. Being defined in terms of the missing information similar to the reference prior, it can be seen as an extension of the latter to the data-driven setting. This implies a natural interpretation as a trade-off between choosing the least informative prior and incorporating the information provided by the data, a symbiosis between the objective and empirical Bayes methodologies.}, language = {en} } @article{HelfmannDjurdjevacConradDjurdjevacetal., author = {Helfmann, Luzie and Djurdjevac Conrad, Natasa and Djurdjevac, Ana and Winkelmann, Stefanie and Sch{\"u}tte, Christof}, title = {From interacting agents to density-based modeling with stochastic PDEs}, series = {Communications in Applied Mathematics and Computational Science}, volume = {16}, journal = {Communications in Applied Mathematics and Computational Science}, number = {1}, doi = {10.2140/camcos.2021.16.1}, pages = {1 -- 32}, abstract = {Many real-world processes can naturally be modeled as systems of interacting agents. However, the long-term simulation of such agent-based models is often intractable when the system becomes too large. In this paper, starting from a stochastic spatio-temporal agent-based model (ABM), we present a reduced model in terms of stochastic PDEs that describes the evolution of agent number densities for large populations. We discuss the algorithmic details of both approaches; regarding the SPDE model, we apply Finite Element discretization in space which not only ensures efficient simulation but also serves as a regularization of the SPDE. Illustrative examples for the spreading of an innovation among agents are given and used for comparing ABM and SPDE models.}, language = {en} }