71 citations
- Centre de Recherche en Économie et StatistiqueFR11 papers
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- Center for Responsible TravelUS8 papers
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- Bocconi UniversityIT1 paper
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7 papers · 1 filter
Bayesian learning of noisy Markov decision processes
Sumeetpal S. Singh, Nicolas Chopin, Nick Whiteley
We consider the inverse reinforcement learning problem, that is, the problem of learning from, and then predicting or mimicking a controller based on state/action data. We propose…
Perfect simulation for the Feynman-Kac law on the path space
Christophe Andrieu, Nicolas Chopin, Arnaud Doucet +1
This paper describes an algorithm of interest. This is a preliminary version and we intend on writing a better descripition of it and getting bounds for its complexity.
Statistical inference in compound functional models
Arnak Dalalyan, Yuri Ingster, Alexandre Tsybakov
We consider a general nonparametric regression model called the compound model. It includes, as special cases, sparse additive regression and nonparametric (or linear) regression w…
In praise of the referee
Nicolas Chopin, Andrew Gelman, Kerrie L. Mengersen +1
There has been a lively debate in many fields, including statistics and related applied fields such as psychology and biomedical research, on possible reforms of the scholarly publ…
On break-even correlation: the way to price structured credit derivatives by replication
Jean-David Fermanian, Olivier Vigneron
We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical appl…
Bayes and empirical Bayes: do they merge?
Sonia Petrone, Judith Rousseau, Catia Scricciolo
Bayesian inference is attractive for its coherence and good frequentist properties. However, it is a common experience that eliciting a honest prior may be difficult and, in practi…