12 papers
Score-Based Martingale Posteriors for Deep Neural Networks
Abylay Zhumekenov, Ajay Jasra, Mohamed Maama +1
In this paper we investigate the efficacy of the score-based martingale posteriors (SMP) (Cui & Walker, 2025; Fong et al., 2023) in the context of modern and large-scale machine le…
Parameter Estimation for Partially Observed Time-Changed SDEs
Ke Zhao, Ajay Jasra
In this paper we consider the parameter estimation problem associated to partially-observed time changed SDEs, with observations that are given at discrete times. In particular we…
Unbiased Gradients for a Class of Conditional Stochastic Optimization Problems
Miguel Alvarez, Ajay Jasra
In this paper we consider the conditional stochastic optimization (CSO) problem. This consists of optimizing a function which can be written as the expectation of a function which…
Martingale Posteriors for Discretely Observed Diffusions
Jingning Yao, Ajay Jasra, Sheng Jiang
In this paper we consider parameter estimation for discretely observed diffusion processes. In particular, we focus on data that are observed at low frequency and methodology that…
Latent Modularity in Multi-View Data
Andrea Cremaschi, Maria De Iorio, Garritt Page +1
In this article, we consider the problem of clustering multi-view data, that is, information associated to individuals that form heterogeneous data sources (the views). We adopt a…
Unbiased Parameter Estimation of Partially Observed Diffusions using Diffusion Bridges
Miguel Alvarez, Ajay Jasra
In this article we consider the estimation of static parameters for partially observed diffusion processes with discrete-time observations over a fixed time interval. In particular…
Bayesian Parameter Estimation for Partially Observed McKean-Vlasov Diffusions Using Multilevel Markov chain Monte Carlo
Ajay Jasra, Amin Wu
In this article we consider Bayesian estimation of static parameters for a class of partially observed McKean-Vlasov diffusion processes with discrete-time observations over a fixe…
Asymptotic Variance in the Central Limit Theorem for Multilevel Markovian Stochastic Approximation
Ajay Jasra, Abylay Zhumekenov
In this note we consider the finite-dimensional parameter estimation problem associated to inverse problems. In such scenarios, one seeks to maximize the marginal likelihood associ…
Bayesian Inference for Non-Synchronously Observed Diffusions
Ajay Jasra, Kengo Kamatani, Amin Wu
We consider the problem of Bayesian inference for bi-variate data observed in time but with observation times which occur non-synchronously. In particular, this occurs in a wide va…
Unbiased Parameter Estimation for Bayesian Inverse Problems
Neil K. Chada, Ajay Jasra, Mohamed Maama +1
In this paper we consider the estimation of unknown parameters in Bayesian inverse problems. In most cases of practical interest, there are several barriers to performing such esti…
Parameter Estimation for Partially Observed McKean-Vlasov Diffusions
Ajay Jasra, Mohamed Maama, Raul Tempone
In this article we consider likelihood-based estimation of static parameters for a class of partially observed McKean-Vlasov (POMV) diffusion process with discrete-time observation…
Modeling of Measurement Error in Financial Returns Data
Ajay Jasra, Mohamed Maama, Aleksandar Mijatović
In this paper we consider the modeling of measurement error for fund returns data. In particular, given access to a time-series of discretely observed log-returns and the associate…