most citedMaximal spanning trees, asset graphs and random matrix denoising in the analysis of dynamics of financial networks

32 citations

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stat.ME2010★ 27 cited

Auxiliary Particle filtering within adaptive Metropolis-Hastings Sampling

Michael Pitt, Ralph Silva, Paolo Giordani +1

Our article deals with Bayesian inference for a general state space model with the simulated likelihood computed by the particle filter. We show empirically that the partially or f…

stat.ME2010★ 2 cited

A copula based approach to adaptive sampling

Ralph Silva, Robert Kohn, Paolo Giordani +1

Our article is concerned with adaptive sampling schemes for Bayesian inference that update the proposal densities using previous iterates. We introduce a copula based proposal dens…