M. Kouritzin

activity

20062024

most citedRates for branching particle approximations of continuous-discrete filters

21 citations · 40 across the 17 of their papers we have counts for

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3 papers · 1 filter

math.ST2023

Sampling and Filtering with Markov Chains

Michael A. Kouritzin

A continuous-time Markov chain rate change formula for simulation, model selection, filtering and theory is proven. It is used to develop Markov chain importance sampling, rejectio…

math.ST2015

Marcinkiewicz Law of Large Numbers for Outer-products of Heavy-tailed, Long-range Dependent Data

Michael A. Kouritzin, Samira Sadeghi

The Marcinkiewicz Strong Law, $n \to \infty lim \frac{1}{n ^{\frac{1}{p}}} k = 1 \sum n (D_{k} - D) = 0$ a.s. with $p \in (1, 2)$ , is studied for outer products $D_k=X_k\overline{…

math.ST2015★ 1 cited

Convergence Rates and Decoupling in Linear Stochastic Approximation Algorithms

Michael A. Kouritzin, Samira Sadeghi

Almost sure convergence rates for linear algorithms $h_{k + 1} = h_{k} + \frac{1}{k ^{χ}} (b_{k} - A_{k} h_{k})$ are studied, where $χ \in (0, 1)$ , ${A_{k}}_{k = 1}^{\infty}$ are symmetric, positive sem…