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20102025
most citedA random map implementation of implicit filters

118 citations · 323 across the 18 of their papers we have counts for

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2 papers · 1 filter

stat.ME2017

Localization for MCMC: sampling high-dimensional posterior distributions with local structure

Matthias Morzfeld, Xin T. Tong, Youssef M. Marzouk

We investigate how ideas from covariance localization in numerical weather prediction can be used in Markov chain Monte Carlo (MCMC) sampling of high-dimensional posterior distribu…

math.NA2017

Symmetrized importance samplers for stochastic differential equations

Andrew Leach, Kevin K. Lin, Matthias Morzfeld

We study a class of importance sampling methods for stochastic differential equations (SDEs). A small-noise analysis is performed, and the results suggest that a simple symmetrizat…