6 citations · 10 across the 3 of their papers we have counts for
3 papers
Continuously-Tempered PDMP Samplers
Matthew Sutton, Robert Salomone, Augustin Chevallier +1
New sampling algorithms based on simulating continuous-time stochastic processes called piece-wise deterministic Markov processes (PDMPs) have shown considerable promise. However,…
Spectral Subsampling MCMC for Stationary Time Series
Robert Salomone, Matias Quiroz, Robert Kohn +2
Bayesian inference using Markov Chain Monte Carlo (MCMC) on large datasets has developed rapidly in recent years. However, the underlying methods are generally limited to relativel…
Accurate Computation of the Distribution of Sums of Dependent Log-Normals with Applications to the Black-Scholes Model
Zdravko Botev, Robert Salomone, Daniel MacKinlay
We present a new Monte Carlo methodology for the accurate estimation of the distribution of the sum of dependent log-normal random variables. The methodology delivers statistically…