| Publication | Date of Publication | Type |
|---|
Unbiased and multilevel methods for a class of diffusions partially observed via marked point processes
Statistics and Computing | 2025-01-07 | Paper |
Unbiased parameter estimation for partially observed diffusions
SIAM Journal on Control and Optimization | 2024-10-22 | Paper |
Multi-index sequential Monte Carlo ratio estimators for Bayesian inverse problems
Foundations of Computational Mathematics | 2024-08-24 | Paper |
Multilevel particle filters for a class of partially observed piecewise deterministic Markov processes
SIAM Journal on Scientific Computing | 2024-08-09 | Paper |
Bayesian parameter inference for partially observed stochastic volterra equations
Statistics and Computing | 2024-04-30 | Paper |
On the stability of positive semigroups
The Annals of Applied Probability | 2024-01-16 | Paper |
Unbiased Estimation Using Underdamped Langevin Dynamics
SIAM Journal on Scientific Computing | 2023-12-20 | Paper |
Advanced Multilevel Monte Carlo Methods
International Statistical Review | 2023-12-12 | Paper |
Approximate Bayesian Computation for a Class of Time Series Models
International Statistical Review | 2023-11-10 | Paper |
A Wasserstein coupled particle filter for multilevel estimation
Stochastic Analysis and Applications | 2023-10-17 | Paper |
On Time Uniform Wong-Zakai Approximation Theorems
| 2023-10-07 | Paper |
Multilevel Sequential Monte Carlo Samplers for Normalizing Constants
ACM Transactions on Modeling and Computer Simulation | 2023-07-21 | Paper |
On Unbiased Estimation for Discretized Models
SIAM/ASA Journal on Uncertainty Quantification | 2023-06-30 | Paper |
An Improved Unbiased Particle Filter
| 2023-02-20 | Paper |
Antithetic Multilevel Particle Filters
| 2023-01-29 | Paper |
Bayesian parameter inference for partially observed stochastic differential equations driven by fractional Brownian motion
Statistics and Computing | 2022-12-21 | Paper |
Unbiased filtering of a class of partially observed diffusions
Advances in Applied Probability | 2022-12-13 | Paper |
Improved efficiency of multilevel Monte Carlo for stochastic PDE through strong pairwise coupling
Journal of Scientific Computing | 2022-12-13 | Paper |
Log-normalization constant estimation using the ensemble Kalman–Bucy filter with application to high-dimensional models
Advances in Applied Probability | 2022-12-13 | Paper |
A lagged particle filter for stable filtering of certain high-dimensional state-space models
SIAM/ASA Journal on Uncertainty Quantification | 2022-11-25 | Paper |
FORWARD AND INVERSE UNCERTAINTY QUANTIFICATION USING MULTILEVEL MONTE CARLO ALGORITHMS FOR AN ELLIPTIC NONLOCAL EQUATION
International Journal for Uncertainty Quantification | 2022-11-24 | Paper |
A MULTI-INDEX MARKOV CHAIN MONTE CARLO METHOD
International Journal for Uncertainty Quantification | 2022-11-24 | Paper |
MULTI-INDEX SEQUENTIAL MONTE CARLO METHODS FOR PARTIALLY OBSERVED STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
International Journal for Uncertainty Quantification | 2022-11-24 | Paper |
Unbiased estimation using a class of diffusion processes
Journal of Computational Physics | 2022-11-18 | Paper |
A 4D-Var method with flow-dependent background covariances for the shallow-water equations
Statistics and Computing | 2022-09-15 | Paper |
Multilevel ensemble Kalman-Bucy filters
SIAM/ASA Journal on Uncertainty Quantification | 2022-09-01 | Paper |
Unbiased parameter inference for a class of partially observed Lévy-process models
Foundations of Data Science | 2022-06-24 | Paper |
A multilevel approach for stochastic nonlinear optimal control
International Journal of Control | 2022-06-03 | Paper |
Unbiased approximation of posteriors via coupled particle Markov chain Monte Carlo
Statistics and Computing | 2022-05-25 | Paper |
Multilevel estimation of normalization constants using ensemble Kalman-Bucy filters
Statistics and Computing | 2022-05-25 | Paper |
Unbiased estimation of the gradient of the log-likelihood for a class of continuous-time state-space models
Monte Carlo Methods and Applications | 2022-04-04 | Paper |
Multi-index Sequential Monte Carlo ratio estimators for Bayesian Inverse problems
| 2022-03-10 | Paper |
Unbiased Estimation using a Class of Diffusion Processes
| 2022-03-06 | Paper |
Convergence Speed and Approximation Accuracy of Numerical MCMC
| 2022-03-06 | Paper |
Markov chain simulation for multilevel Monte Carlo
Foundations of Data Science | 2022-01-21 | Paper |
Unbiased estimation of the gradient of the log-likelihood in inverse problems
Statistics and Computing | 2021-12-09 | Paper |
Uncertainty modelling and computational aspects of data association
Statistics and Computing | 2021-12-09 | Paper |
Asymptotic behaviour of the posterior distribution in approximate Bayesian computation
Stochastic Analysis and Applications | 2021-11-18 | Paper |
Central limit theorems for coupled particle filters
Advances in Applied Probability | 2021-08-04 | Paper |
Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models
SIAM Journal on Scientific Computing | 2021-08-04 | Paper |
Improved Efficiency of Multilevel Monte Carlo for Stochastic PDE through Strong Pairwise Coupling
| 2021-08-02 | Paper |
Unbiased inference for discretely observed hidden Markov model diffusions
SIAM/ASA Journal on Uncertainty Quantification | 2021-06-23 | Paper |
Multilevel particle filters for the non-linear filtering problem in continuous time
Statistics and Computing | 2020-11-04 | Paper |
Unbiased estimation of the solution to Zakai's equation
Monte Carlo Methods and Applications | 2020-07-08 | Paper |
Some contributions to sequential Monte Carlo methods for option pricing
Journal of Statistical Computation and Simulation | 2020-04-22 | Paper |
Unbiased Filtering of a Class of Partially Observed Diffusions
| 2020-02-10 | Paper |
On concentration properties of partially observed chaotic systems
Advances in Applied Probability | 2020-02-05 | Paper |
Unbiased Estimation of the Solution to Zakai's Equation
| 2020-02-04 | Paper |
On Large Lag Smoothing for Hidden Markov Models
SIAM Journal on Numerical Analysis | 2019-12-09 | Paper |
Multilevel particle filters for Lévy-driven stochastic differential equations
Statistics and Computing | 2019-10-18 | Paper |
A stable particle filter for a class of high-dimensional state-space models
Advances in Applied Probability | 2019-09-16 | Paper |
Identification of MultiObject Dynamical Systems: Consistency and Fisher Information
SIAM Journal on Control and Optimization | 2019-08-30 | Paper |
Bayesian inference for stable Lévy-driven stochastic differential equations with high-frequency data
Scandinavian Journal of Statistics | 2019-06-07 | Paper |
Optimization based methods for partially observed chaotic systems
Foundations of Computational Mathematics | 2019-06-06 | Paper |
Multilevel Monte Carlo in approximate Bayesian computation
Stochastic Analysis and Applications | 2019-05-28 | Paper |
A method for high-dimensional smoothing
Journal of the Korean Statistical Society | 2019-02-19 | Paper |
Error bounds for sequential Monte Carlo samplers for multimodal distributions
Bernoulli | 2019-01-28 | Paper |
A Bayesian mixture of Lasso regressions with \(t\)-errors
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
Central Limit Theorems for Coupled Particle Filters
| 2018-10-11 | Paper |
Multilevel Monte Carlo for smoothing via transport methods
SIAM Journal on Scientific Computing | 2018-08-14 | Paper |
Multilevel sequential Monte Carlo with dimension-independent likelihood-informed proposals
SIAM/ASA Journal on Uncertainty Quantification | 2018-07-19 | Paper |
Particle Filtering for Stochastic Navier--Stokes Signal Observed with Linear Additive Noise
SIAM Journal on Scientific Computing | 2018-06-05 | Paper |
A note on random walks with absorbing barriers and sequential Monte Carlo methods
Stochastic Analysis and Applications | 2018-05-03 | Paper |
Unbiased multi-index Monte Carlo
Stochastic Analysis and Applications | 2018-05-03 | Paper |
Bayesian static parameter estimation for partially observed diffusions via multilevel Monte Carlo
SIAM Journal on Scientific Computing | 2018-04-05 | Paper |
Biased online parameter inference for state-space models
Methodology and Computing in Applied Probability | 2018-03-28 | Paper |
On the loss of Fisher information in some multi-object tracking observation models
| 2018-03-26 | Paper |
Multilevel particle filters: normalizing constant estimation
Statistics and Computing | 2018-02-28 | Paper |
On coupling particle filter trajectories
Statistics and Computing | 2018-02-27 | Paper |
Bayesian inference for multiple Gaussian graphical models with application to metabolic association networks
The Annals of Applied Statistics | 2018-02-19 | Paper |
Multilevel Particle Filters
SIAM Journal on Numerical Analysis | 2017-12-18 | Paper |
A sharp first order analysis of Feynman-Kac particle models. I: Propagation of chaos
Stochastic Processes and their Applications | 2017-12-01 | Paper |
A sharp first order analysis of Feynman-Kac particle models. II: Particle Gibbs samplers
Stochastic Processes and their Applications | 2017-12-01 | Paper |
Multilevel sequential Monte Carlo samplers
Stochastic Processes and their Applications | 2017-05-18 | Paper |
Multilevel sequential Monte Carlo: Mean square error bounds under verifiable conditions
Stochastic Analysis and Applications | 2017-05-16 | Paper |
Optimization Based Methods for Partially Observed Chaotic Systems
| 2017-02-08 | Paper |
Variational inference for sparse spectrum Gaussian process regression
Statistics and Computing | 2016-11-16 | Paper |
Monte Carlo algorithms for computing \(\alpha \)-permanents
Statistics and Computing | 2016-07-29 | Paper |
On the convergence of adaptive sequential Monte Carlo methods
The Annals of Applied Probability | 2016-06-09 | Paper |
Theory of segmented particle filters
Advances in Applied Probability | 2016-05-17 | Paper |
Sequential Monte Carlo methods for Bayesian elliptic inverse problems
Statistics and Computing | 2016-02-23 | Paper |
The alive particle filter and its use in particle Markov chain Monte Carlo
Stochastic Analysis and Applications | 2015-12-21 | Paper |
Bayesian parameter inference for partially observed stopped processes
Statistics and Computing | 2015-11-19 | Paper |
On the behaviour of the backward interpretation of Feynman-Kac formulae under verifiable conditions
Journal of Applied Probability | 2015-10-02 | Paper |
Error Bounds for Sequential Monte Carlo Samplers for Multimodal Distributions
| 2015-09-29 | Paper |
Gradient free parameter estimation for hidden Markov models with intractable likelihoods
Methodology and Computing in Applied Probability | 2015-07-31 | Paper |
Approximate Inference for Observation-Driven Time Series Models with Intractable Likelihoods
ACM Transactions on Modeling and Computer Simulation | 2015-02-26 | Paper |
Sequential Monte Carlo methods for high-dimensional inverse problems: a case study for the Navier-Stokes equations
SIAM/ASA Journal on Uncertainty Quantification | 2015-01-14 | Paper |
Parameter estimation for hidden Markov models with intractable likelihoods
Scandinavian Journal of Statistics | 2014-12-09 | Paper |
Theory of Parallel Particle Filters for Hidden Markov Models
| 2014-09-15 | Paper |
On the stability of sequential Monte Carlo methods in high dimensions
The Annals of Applied Probability | 2014-08-06 | Paper |
Approximate Bayesian Computation for Smoothing
Stochastic Analysis and Applications | 2014-06-13 | Paper |
Error bounds and normalising constants for sequential Monte Carlo samplers in high dimensions
Advances in Applied Probability | 2014-05-09 | Paper |
Robust and adaptive algorithms for online portfolio selection
Quantitative Finance | 2014-01-30 | Paper |
Likelihood computation for hidden Markov models via generalized two-filter smoothing
Statistics \& Probability Letters | 2013-11-29 | Paper |
Inference for a class of partially observed point process models
Annals of the Institute of Statistical Mathematics | 2013-08-07 | Paper |
Stochastic boosting algorithms
Statistics and Computing | 2013-01-16 | Paper |
Stochastic boosting algorithms
Statistics and Computing | 2012-12-31 | Paper |
An adaptive sequential Monte Carlo method for approximate Bayesian computation
Statistics and Computing | 2012-12-07 | Paper |
Filtering via approximate Bayesian computation
Statistics and Computing | 2012-12-07 | Paper |
scientific article; zbMATH DE number 6114079 (Why is no real title available?)
| 2012-12-07 | Paper |
Inference for Lévy-driven stochastic volatility models via adaptive sequential Monte Carlo
Scandinavian Journal of Statistics | 2012-09-01 | Paper |
Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae
Stochastic Processes and their Applications | 2012-06-01 | Paper |
On adaptive resampling strategies for sequential Monte Carlo methods
Bernoulli | 2012-03-29 | Paper |
The time machine: a simulation approach for stochastic trees
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2011-12-17 | Paper |
On nonlinear Markov chain Monte Carlo
Bernoulli | 2011-09-14 | Paper |
Sequential Monte Carlo methods for option pricing
Stochastic Analysis and Applications | 2011-04-19 | Paper |
Sequential Monte Carlo methods for diffusion processes
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2010-10-02 | Paper |
Interacting sequential Monte Carlo samplers for trans-dimensional simulation
Computational Statistics and Data Analysis | 2009-06-12 | Paper |
Population-Based Reversible Jump Markov Chain Monte Carlo
Biometrika | 2009-02-26 | Paper |
Bayesian mixture modelling in geochronology via Markov chain Monte Carlo
Mathematical Geology | 2009-02-24 | Paper |
Stability of sequential Monte Carlo samplers via the Foster-Lyapunov condition
Statistics \& Probability Letters | 2008-11-25 | Paper |
A regeneration proof of the central limit theorem for uniformly ergodic Markov chains
Statistics \& Probability Letters | 2008-09-17 | Paper |
A Note on Convergence of the Equi-Energy Sampler
Stochastic Analysis and Applications | 2008-04-29 | Paper |
Non-linear Markov Chain Monte Carlo
ESAIM: Proceedings | 2007-11-20 | Paper |
Convergence of the equi-energy sampler
ESAIM: Proceedings | 2007-11-20 | Paper |
Sequential Monte Carlo Samplers
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2006-11-14 | Paper |
Markov chain Monte Carlo methods and the label switching problem in Bayesian mixture modeling
Statistical Science | 2006-09-22 | Paper |
Antithetic Multilevel Methods for Elliptic and Hypo-Elliptic Diffusions with Applications
| N/A | Paper |
Multilevel Particle Filters for Partially Observed McKean-Vlasov Stochastic Differential Equations
| N/A | Paper |
