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Showing 2016 · math.PRShow all
3 papers · 2 filters
math.PR2016★ 2 cited
Constant Step Stochastic Approximations Involving Differential Inclusions: Stability, Long-Run Convergence and Applications
Pascal Bianchi, Walid Hachem, Adil Salim
We consider a Markov chain whose kernel is indexed by a scaling parameter , refered to as the step size. The aim is to analyze the behavior of the Markov chain in the…
math.PR2016★ 2 cited
Optimal scaling of the Random Walk Metropolis algorithm under Lp mean differentiability
Alain Durmus, Sylvain Le Corff, Eric Moulines +1
This paper considers the optimal scaling problem for high-dimensional random walk Metropolis algorithms for densities which are differentiable in Lp mean but which may be irregular…
math.PR2016
Marginal standardization of upper semicontinuous processes. with application to max-stable processes
Anne Sabourin, Johan Segers
Extreme-value theory for random vectors and stochastic processes with continuous trajectories is usually formulated for random objects all of whose univariate marginal distribution…