11 citations · 30 across the 21 of their papers we have counts for
3 papers · 1 filter
Parallel square-root statistical linear regression for inference in nonlinear state space models
Fatemeh Yaghoobi, Adrien Corenflos, Sakira Hassan +1
In this article, we introduce parallel-in-time methods for state and parameter estimation in general nonlinear non-Gaussian state-space models using the statistical linear regressi…
De-Sequentialized Monte Carlo: a parallel-in-time particle smoother
Adrien Corenflos, Nicolas Chopin, Simo Särkkä
Particle smoothers are SMC (Sequential Monte Carlo) algorithms designed to approximate the joint distribution of the states given observations from a state-space model. We propose…
The Coupled Rejection Sampler
Adrien Corenflos, Simo Särkkä
We propose a coupled rejection-sampling method for sampling from couplings of arbitrary distributions. The method relies on accepting or rejecting coupled samples coming from domin…