107 citations · 181 across the 2 of their papers we have counts for
2 papers
math.PR2009★ 107 cited
Optimal scalings for local Metropolis--Hastings chains on nonproduct targets in high dimensions
Alexandros Beskos, Gareth Roberts, Andrew Stuart
We investigate local MCMC algorithms, namely the random-walk Metropolis and the Langevin algorithms, and identify the optimal choice of the local step-size as a function of the dim…
math.ST2009★ 74 cited
Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
Alexandros Beskos, Omiros Papaspiliopoulos, Gareth Roberts
This paper introduces a Monte Carlo method for maximum likelihood inference in the context of discretely observed diffusion processes. The method gives unbiased and a.s.\@ continuo…