756 citations · 3.9k across the 84 of their papers we have counts for
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ε-Strong simulation of the Brownian path
Alexandros Beskos, Stefano Peluchetti, Gareth Roberts
We present an iterative sampling method which delivers upper and lower bounding processes for the Brownian path. We develop such processes with particular emphasis on being able to…
Markov chain Monte Carlo for exact inference for diffusions
Giorgos Sermaidis, Omiros Papaspiliopoulos, Gareth O. Roberts +2
We develop exact Markov chain Monte Carlo methods for discretely-sampled, directly and indirectly observed diffusions. The qualification "exact" refers to the fact that the invaria…
CLTs and asymptotic variance of time-sampled Markov chains
Krzysztof Latuszynski, Gareth O. Roberts
For a Markov transition kernel and a probability distribution on nonnegative integers, a time-sampled Markov chain evolves according to the transition kernel $P_μ = \sum_k…
Adaptive Gibbs samplers and related MCMC methods
Krzysztof Łatuszyński, Gareth O. Roberts, Jeffrey S. Rosenthal
We consider various versions of adaptive Gibbs and Metropolis-within-Gibbs samplers, which update their selection probabilities (and perhaps also their proposal distributions) on t…