442 citations · 3.3k across the 135 of their papers we have counts for
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On Particle Methods for Parameter Estimation in State-Space Models
Nikolas Kantas, Arnaud Doucet, Sumeetpal S. Singh +2
Nonlinear non-Gaussian state-space models are ubiquitous in statistics, econometrics, information engineering and signal processing. Particle methods, also known as Sequential Mont…
Perfect simulation using atomic regeneration with application to Sequential Monte Carlo
Anthony Lee, Arnaud Doucet, Krzysztof Łatuszyński
Consider an irreducible, Harris recurrent Markov chain of transition kernel Π and invariant probability measure π. If Π satisfies a minorization condition, then the split chain all…
Asynchronous Anytime Sequential Monte Carlo
Brooks Paige, Frank Wood, Arnaud Doucet +1
We introduce a new sequential Monte Carlo algorithm we call the particle cascade. The particle cascade is an asynchronous, anytime alternative to traditional particle filtering alg…