208 citations · 1.5k across the 43 of their papers we have counts for
3 papers · 1 filter
Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator
Randal Douc, Paul Doukhan, Eric Moulines
This paper deals with a general class of observation-driven time series models with a special focus on time series of counts. We provide conditions under which there exist strict-s…
Long-term stability of sequential Monte Carlo methods under verifiable conditions
Randal Douc, Eric Moulines, Jimmy Olsson
This paper discusses particle filtering in general hidden Markov models (HMMs) and presents novel theoretical results on the long-term stability of bootstrap-type particle filters.…
Sequential Monte Carlo smoothing for general state space hidden Markov models
Randal Douc, Aurélien Garivier, Eric Moulines +1
Computing smoothing distributions, the distributions of one or more states conditional on past, present, and future observations is a recurring problem when operating on general hi…