203 citations · 1.6k across the 78 of their papers we have counts for
4 papers · 1 filter
Optimized Auxiliary Particle Filters: adapting mixture proposals via convex optimization
Nicola Branchini, Víctor Elvira
Auxiliary particle filters (APFs) are a class of sequential Monte Carlo (SMC) methods for Bayesian inference in state-space models. In their original derivation, APFs operate in an…
Adaptive quadrature schemes for Bayesian inference via active learning
F. Llorente, L. Martino, V. Elvira +2
Numerical integration and emulation are fundamental topics across scientific fields. We propose novel adaptive quadrature schemes based on an active learning procedure. We consider…
GraphEM: EM algorithm for blind Kalman filtering under graphical sparsity constraints
Émilie Chouzenoux, Víctor Elvira
Modeling and inference with multivariate sequences is central in a number of signal processing applications such as acoustics, social network analysis, biomedical, and finance, to…
Importance Gaussian Quadrature
Víctor Elvira, Luca Martino, Pau Closas
Importance sampling (IS) and numerical integration methods are usually employed for approximating moments of complicated target distributions. In its basic procedure, the IS method…