Publications (6)
Multilevel Particle Filters for Partially Observed McKean-Vlasov Stochastic Differential Equations
Elsiddig Awadelkarim, Ajay Jasra
In this paper we consider the filtering problem associated to partially observed McKean-Vlasov stochastic differential equations (SDEs). The model consists of data that are observe…
Unbiased Approximations for Stationary Distributions of McKean-Vlasov SDEs
Elsiddig Awadelkarim, Neil K. Chada, Ajay Jasra
We consider the development of unbiased estimators, to approximate the stationary distribution of Mckean-Vlasov stochastic differential equations (MVSDEs). These are an important c…
On the Particle Approximation of Lagged Feynman-Kac Formulae
Elsiddig Awadelkarim, Michel Caffarel, Pierre Del Moral +1
In this paper we examine the numerical approximation of the limiting invariant measure associated with Feynman-Kac formulae. These are expressed in a discrete time formulation and…
Geometric ergodicity of Gibbs samplers for linear latent models with GIG variance mixtures
Elsiddig Awadelkarim, David Bolin, Xiaotian Jin +2
We study geometric ergodicity of the Gibbs sampler for linear latent non-Gaussian models (LLnGMs), a class of hierarchical models in which conditional Gaussian structure is preserv…
Unbiased Parameter Estimation for Partially Observed Diffusions
Elsiddig Awadelkarim, Ajay Jasra, Hamza Ruzayqat
In this article we consider the estimation of static parameters for partially observed diffusion process with discrete-time observations over a fixed time interval. In particular,…
Fractional and Integer Order Sobolev Spaces for Compact Metric Graphs
Elsiddig Awadelkarim, David Bolin, Alexandre B. Simas
Given a compact metric graph and the Laplacian coupled with standard (Kirchhoff) vertex conditions, solutions to fractional elliptic partial differential equations of…