27 citations · 29 across the 4 of their papers we have counts for
4 papers
Multilevel Particle Filters for a Class of Partially Observed Piecewise Deterministic Markov Processes
Ajay Jasra, Kengo Kamatani, Mohamed Maama
In this paper we consider the filtering of a class of partially observed piecewise deterministic Markov processes (PDMPs). In particular, we assume that an ordinary differential eq…
Bayesian Static Parameter Estimation for Partially Observed Diffusions via Multilevel Monte Carlo
Ajay Jasra, Kengo Kamatani, Kody J. H. Law +1
In this article we consider static Bayesian parameter estimation for partially observed diffusions that are discretely observed. We work under the assumption that one must resort t…
Efficient strategy for the Markov chain Monte Carlo in high-dimension with heavy-tailed target probability distribution
Kengo Kamatani
The purpose of this paper is to introduce a new Markov chain Monte Carlo method and exhibit its efficiency by simulation and high-dimensional asymptotic theory. Key fact is that ou…
A Stable Particle Filter in High-Dimensions
Alex Beskos, Dan Crisan, Ajay Jasra +2
We consider the numerical approximation of the filtering problem in high dimensions, that is, when the hidden state lies in with large. For low dimensional probl…