5 papers
Log-Normalization Constant Estimation using the Ensemble Kalman-Bucy Filter with Application to High-Dimensional Models
Dan Crisan, Pierre Del Moral, Ajay Jasra +1
In this article we consider the estimation of the log-normalization constant associated to a class of continuous-time filtering models. In particular, we consider ensemble Kalman-B…
Stochastic Epidemic Models inference and diagnosis with Poisson Random Measure Data Augmentation
Benjamin Nguyen-Van-Yen, Pierre Del Moral, Bernard Cazelles
We present a new Bayesian inference method for compartmental models that takes into account the intrinsic stochasticity of the process. We show how to formulate a SIR-type Markov j…
A variational approach to nonlinear and interacting diffusions
Marc Arnaudon, Pierre Del Moral
The article presents a novel variational calculus to analyze the stability and the propagation of chaos properties of nonlinear and interacting diffusions. This differential method…
Feynman-Kac particle integration with geometric interacting jumps
Pierre Del Moral, Pierre E. Jacob, Anthony Lee +2
This article is concerned with the design and analysis of discrete time Feynman-Kac particle integration models with geometric interacting jump processes. We analyze two general ty…
A note on convergence of the equi-energy sampler
Christophe Andrieu, Ajay Jasra, Arnaud Doucet +1
In a recent paper `The equi-energy sampler with applications statistical inference and statistical mechanics' [Ann. Stat. 34 (2006) 1581--1619], Kou, Zhou & Wong have presented a n…