11 citations · 18 across the 5 of their papers we have counts for
8 papers
Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models
Andras Fulop, Jeremy Heng, Junye Li
Most solved dynamic structural macrofinance models are non-linear and/or non-Gaussian state-space models with high-dimensional and complex structures. We propose an annealed contro…
On Unbiased Score Estimation for Partially Observed Diffusions
Jeremy Heng, Jeremie Houssineau, Ajay Jasra
We consider the problem of statistical inference for a class of partially-observed diffusion processes, with discretely-observed data and finite-dimensional parameters. We construc…
On Unbiased Estimation for Discretized Models
Jeremy Heng, Ajay Jasra, Kody J. H. Law +1
In this article, we consider computing expectations w.r.t. probability measures which are subject to discretization error. Examples include partially observed diffusion processes o…
Sequential Monte Carlo algorithms for agent-based models of disease transmission
Nianqiao Ju, Jeremy Heng, Pierre E. Jacob
Agent-based models of disease transmission involve stochastic rules that specify how a number of individuals would infect one another, recover or be removed from the population. Co…
A simple Markov chain for independent Bernoulli variables conditioned on their sum
Jeremy Heng, Pierre E. Jacob, Nianqiao Ju
We consider a vector of independent binary variables, each with a different probability of success. The distribution of the vector conditional on its sum is known as the condit…
Schrödinger Bridge Samplers
Espen Bernton, Jeremy Heng, Arnaud Doucet +1
Consider a reference Markov process with initial distribution and transition kernels , for some . Assume that you are given distribut…