281 citations · 462 across the 3 of their papers we have counts for
3 papers
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…
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…
Exact simulation of diffusions
Alexandros Beskos, Gareth O. Roberts
We describe a new, surprisingly simple algorithm, that simulates exact sample paths of a class of stochastic differential equations. It involves rejection sampling and, when applic…