| Publication | Date of Publication | Type |
|---|
Parameter estimation with increased precision for elliptic and hypo-elliptic diffusions
Bernoulli | 2024-11-05 | Paper |
Manifold Markov chain Monte Carlo methods for Bayesian inference in diffusion models
Journal of the Royal Statistical Society. Series B. Statistical Methodology | 2024-09-10 | Paper |
Parameter inference for degenerate diffusion processes
Stochastic Processes and their Applications | 2024-07-10 | Paper |
Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the U.S. stock market
The Annals of Applied Statistics | 2024-04-15 | Paper |
Bayesian learning of graph substructures
Bayesian Analysis | 2024-02-27 | Paper |
Bayesian learning of graph substructures
Bayesian Analysis | 2024-02-27 | Paper |
The G-Wishart Weighted Proposal Algorithm: Efficient Posterior Computation for Gaussian Graphical Models
Journal of Computational and Graphical Statistics | 2022-12-16 | Paper |
Online Smoothing for Diffusion Processes Observed with Noise
Journal of Computational and Graphical Statistics | 2022-12-16 | Paper |
MCMC Algorithms for Posteriors on Matrix Spaces
Journal of Computational and Graphical Statistics | 2022-12-15 | 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 |
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 |
Unbiased approximation of posteriors via coupled particle Markov chain Monte Carlo
Statistics and Computing | 2022-05-25 | Paper |
Unbiased Estimation using a Class of Diffusion Processes
(available as arXiv preprint) | 2022-03-06 | Paper |
Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models
SIAM Journal on Scientific Computing | 2021-08-04 | Paper |
Asymptotic analysis of model selection criteria for general hidden Markov models
Stochastic Processes and their Applications | 2021-02-18 | Paper |
Monte Carlo co-ordinate ascent variational inference
Statistics and Computing | 2020-08-27 | Paper |
On concentration properties of partially observed chaotic systems
Advances in Applied Probability | 2020-02-05 | Paper |
A stable particle filter for a class of high-dimensional state-space models
Advances in Applied Probability | 2019-09-16 | Paper |
A stable particle filter for a class of high-dimensional state-space models
Advances in Applied Probability | 2019-09-16 | Paper |
Optimization based methods for partially observed chaotic systems
Foundations of Computational Mathematics | 2019-06-06 | Paper |
Efficient sequential Monte Carlo algorithms for integrated population models
Journal of Agricultural, Biological and Environmental Statistics | 2019-06-04 | Paper |
Asymptotic analysis of the random walk metropolis algorithm on ridged densities
The Annals of Applied Probability | 2018-11-07 | Paper |
Asymptotic analysis of the random walk metropolis algorithm on ridged densities
The Annals of Applied Probability | 2018-11-07 | Paper |
The natural hedge of a gas-fired power plant
Computational Management Science | 2018-10-10 | 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 |
Geometric MCMC for infinite-dimensional inverse problems
Journal of Computational Physics | 2017-12-14 | Paper |
Multilevel sequential Monte Carlo samplers
Stochastic Processes and their Applications | 2017-05-18 | Paper |
Optimization Based Methods for Partially Observed Chaotic Systems
(available as arXiv preprint) | 2017-02-08 | Paper |
On the convergence of adaptive sequential Monte Carlo methods
The Annals of Applied Probability | 2016-06-09 | Paper |
On the convergence of adaptive sequential Monte Carlo methods
The Annals of Applied Probability | 2016-06-09 | Paper |
Sequential Monte Carlo methods for Bayesian elliptic inverse problems
Statistics and Computing | 2016-02-23 | Paper |
Bayesian inference for partially observed stochastic differential equations driven by fractional Brownian motion
Biometrika | 2016-01-08 | Paper |
Asymptotic Analysis of the Random-Walk Metropolis Algorithm on Ridged Densities
(available as arXiv preprint) | 2015-10-09 | 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 |
On the stability of sequential Monte Carlo methods in high dimensions
The Annals of Applied Probability | 2014-08-06 | Paper |
On the stability of sequential Monte Carlo methods in high dimensions
The Annals of Applied Probability | 2014-08-06 | Paper |
A stable manifold MCMC method for high dimensions
Statistics & Probability Letters | 2014-06-11 | Paper |
Error bounds and normalising constants for sequential Monte Carlo samplers in high dimensions
Advances in Applied Probability | 2014-05-09 | Paper |
Error bounds and normalising constants for sequential Monte Carlo samplers in high dimensions
Advances in Applied Probability | 2014-05-09 | Paper |
Optimal tuning of the hybrid Monte Carlo algorithm
Bernoulli | 2014-02-04 | Paper |
Markov chain Monte Carlo for exact inference for diffusions
Scandinavian Journal of Statistics | 2013-06-05 | Paper |
Advanced MCMC methods for sampling on diffusion pathspace
Stochastic Processes and their Applications | 2013-03-04 | Paper |
\(\varepsilon\)-strong simulation of the Brownian path
Bernoulli | 2013-01-17 | Paper |
\(\varepsilon\)-strong simulation of the Brownian path
Bernoulli | 2013-01-17 | Paper |
Hybrid Monte Carlo on Hilbert spaces
Stochastic Processes and their Applications | 2011-10-10 | Paper |
Computational complexity of Metropolis-Hastings methods in high dimensions
Monte Carlo and Quasi-Monte Carlo Methods 2008 | 2010-02-15 | Paper |
| MCMC methods for sampling function space | 2009-07-27 | Paper |
Optimal scalings for local Metropolis-Hastings chains on nonproduct targets in high dimensions
The Annals of Applied Probability | 2009-07-17 | Paper |
Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
The Annals of Statistics | 2009-02-25 | Paper |
Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
The Annals of Statistics | 2009-02-25 | Paper |
MCMC METHODS FOR DIFFUSION BRIDGES
Stochastics and Dynamics | 2008-12-11 | Paper |
A factorisation of diffusion measure and finite sample path constructions
Methodology and Computing in Applied Probability | 2008-08-20 | Paper |
Retrospective exact simulation of diffusion sample paths with applications
Bernoulli | 2007-09-05 | Paper |
Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2006-11-14 | Paper |
One-shot CFTP; application to a class of truncated Gaussian densities
Methodology and Computing in Applied Probability | 2006-10-27 | Paper |
Exact simulation of diffusions
The Annals of Applied Probability | 2006-07-10 | Paper |
Antithetic Multilevel Methods for Elliptic and Hypo-Elliptic Diffusions with Applications
(available as arXiv preprint) | N/A | Paper |
