208 citations · 1.5k across the 43 of their papers we have counts for
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stat.ME2017
Numerically stable online estimation of variance in particle filters
Jimmy Olsson, Randal Douc
This paper discusses variance estimation in sequential Monte Carlo methods, alternatively termed particle filters. The variance estimator that we propose is a natural modification…
stat.ME2013★ 25 cited
Comparison of asymptotic variances of inhomogeneous Markov chains with application to Markov chain Monte Carlo methods
Florian Maire, Randal Douc, Jimmy Olsson
In this paper, we study the asymptotic variance of sample path averages for inhomogeneous Markov chains that evolve alternatingly according to two different -reversible Markov t…
stat.ME2011★ 11 cited
Particle approximation improvement of the joint smoothing distribution with on-the-fly variance estimation
Cyrille Dubarry, Randal Douc
Particle smoothers are widely used algorithms allowing to approximate the smoothing distribution in hidden Markov models. Existing algorithms often suffer from slow computational t…