928 citations · 963 across the 9 of their papers we have counts for
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Saddlepoint-adjusted inversion of characteristic functions
Berent Å. S. Lunde, Tore S. Kleppe, Hans J. Skaug
For certain types of statistical models, the characteristic function (Fourier transform) is available in closed form, whereas the probability density function has an intractable fo…
On the application of higher order symplectic integrators in Hamiltonian Monte Carlo
Janne Mannseth, Tore Selland Kleppe, Hans J. Skaug
We explore the construction of new symplectic numerical integration schemes to be used in Hamiltonian Monte Carlo and study their efficiency. Two integration schemes from Blanes et…
TMB: Automatic Differentiation and Laplace Approximation
Kasper Kristensen, Anders Nielsen, Casper W. Berg +2
TMB is an open source R package that enables quick implementation of complex nonlinear random effect (latent variable) models in a manner similar to the established AD Model Builde…
Bandwidth Selection In Pre-Smoothed Particle Filters
Tore Selland Kleppe, Hans Julius Skaug
For the purpose of maximum likelihood estimation of static parameters, we apply a kernel smoother to the particles in the standard SIR filter for non-linear state space models with…