310 citations
- Télécom ParisFR6 papers
- Centre de Mathématiques Appliquées de l'École polytechniqueFR3 papers
- Centre National de la Recherche ScientifiqueFR3 papers
- SupélecFR2 papers
- Université Paris NanterreFR2 papers
- Boston UniversityUS1 paper
- Hebrew University of JerusalemIL1 paper
- Institut Mines-TélécomFR1 paper
- Institut Polytechnique de ParisFR1 paper
- Institutt for Grafiske MedierNO1 paper
- Laboratoire de Mécanique et d’AcoustiqueFR1 paper
- Laboratoire de Probabilités et Modèles AléatoiresFR1 paper
8 papers · 1 filter
On the Forward Filtering Backward Smoothing particle approximations of the smoothing distribution in general state spaces models
Randal Douc, Aurelien Garivier, Eric Moulines +1
A prevalent problem in general state-space models is the approximation of the smoothing distribution of a state, or a sequence of states, conditional on the observations from the p…
Estimators of Long-Memory: Fourier versus Wavelets
Gilles Fay, Eric Moulines, François Roueff +1
There have been a number of papers written on semi-parametric estimation methods of the long-memory exponent of a time series, some applied, others theoretical. Some using Fourier…
Frequency estimation based on the cumulated Lomb-Scargle periodogram
Céline Lévy-Leduc, Eric Moulines, François Roueff
We consider the problem of estimating the period of an unknown periodic function observed in additive noise sampled at irregularly spaced time instants in a semiparametric setting.…
Log-average periodogram estimator of the memory parameter
Valderio Reisen, Eric Moulines, Philippe Soulier +1
This paper introduces a semiparametric regression estimator of the memory parameter for long-memory time series process. It is based on the regression in a neighborhood of the zero…
Forgetting of the initial condition for the filter in general state-space hidden Markov chain: a coupling approach
Randal Douc, Eric Moulines, Ya'Acov Ritov
We give simple conditions that ensure exponential forgetting of the initial conditions of the filter for general state-space hidden Markov chain. The proofs are based on the coupli…
On the auxiliary particle filter
Randal Douc, Eric Moulines, Jimmy Olsson
In this article we study asymptotic properties of weighted samples produced by the auxiliary particle filter (APF) proposed by pitt and shephard (1999). Besides establishing a cent…