181 citations · 446 across the 49 of their papers we have counts for
14 papers · 1 filter
A perturbation theory for Feynman-Kac models and their particle interpretations
Pierre Del Moral, Mathieu Gerber
We develop a perturbation analysis of Feynman--Kac models, describing how local errors introduced at each step of the Feynman--Kac recursion propagate over time. Under general cond…
Bayesian Parameter Inference for Partially Observed Diffusions using Multilevel Stochastic Runge-Kutta Methods
Pierre Del Moral, Shulan Hu, Ajay Jasra +2
We consider the problem of Bayesian estimation of static parameters associated to a partially and discretely observed diffusion process. We assume that the exact transition dynamic…
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…
Unbiased Multi-index Monte Carlo
Dan Crisan, Pierre Del Moral, Jeremie Houssineau +1
We introduce a new class of Monte Carlo based approximations of expectations of random variables such that their laws are only available via certain discretizations. Sampling from…
A Note on Random Walks with Absorbing barriers and Sequential Monte Carlo Methods
Pierre Del Moral, Ajay Jasra
In this article we consider importance sampling (IS) and sequential Monte Carlo (SMC) methods in the context of 1-dimensional random walks with absorbing barriers. In particular, w…
Multilevel Sequential Monte Carlo Samplers for Normalizing Constants
Pierre Del Moral, Ajay Jasra, Kody Law +1
This article considers the sequential Monte Carlo (SMC) approximation of ratios of normalizing constants associated to posterior distributions which in principle rely on continuum…
Biips: Software for Bayesian Inference with Interacting Particle Systems
Adrien Todeschini, François Caron, Marc Fuentes +2
Biips is a software platform for automatic Bayesian inference with interacting particle systems. Biips allows users to define their statistical model in the probabilistic programmi…
Convergence properties of weighted particle islands with application to the double bootstrap algorithm
Pierre Del Moral, Eric Moulines, Jimmy Olsson +1
Particle island models (Vergé et al., 2013) provide a means of parallelization of sequential Monte Carlo methods, and in this paper we present novel convergence results for algorit…
Particle MCMC for Bayesian Microwave Control
P. Minvielle, A. Todeschini, F. Caron +1
We consider the problem of local radioelectric property estimation from global electromagnetic scattering measurements. This challenging ill-posed high dimensional inverse problem…
Sequential Monte Carlo with Highly Informative Observations
Pierre Del Moral, Lawrence M. Murray
We propose sequential Monte Carlo (SMC) methods for sampling the posterior distribution of state-space models under highly informative observation regimes, a situation in which sta…
Approximate Bayesian Computation for Smoothing
James S. Martin, Ajay Jasra, Sumeetpal S. Singh +2
We consider a method for approximate inference in hidden Markov models (HMMs). The method circumvents the need to evaluate conditional densities of observations given the hidden st…
An Adaptive Interacting Wang-Landau Algorithm for Automatic Density Exploration
Luke Bornn, Pierre Jacob, Pierre Del Moral +1
While statisticians are well-accustomed to performing exploratory analysis in the modeling stage of an analysis, the notion of conducting preliminary general-purpose exploratory an…
Sequential Monte Carlo Methods for Option Pricing
Ajay Jasra, Pierre Del Moral
In the following paper we provide a review and development of sequential Monte Carlo (SMC) methods for option pricing. SMC are a class of Monte Carlo-based algorithms, that are des…
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…