2 citations · 2 across the 1 of their papers we have counts for
3 papers
stat.CO2016
Multilevel Particle Filters: Normalizing Constant Estimation
Ajay Jasra, Kengo Kamatani, Prince Prepah Osei +1
In this article we introduce two new estimates of the normalizing constant (or marginal likelihood) for partially observed diffusion (POD) processes, with discrete observations. On…
stat.CO2016
Forward and Inverse Uncertainty Quantification using Multilevel Monte Carlo Algorithms for an Elliptic Nonlocal Equation
Ajay Jasra, Kody Law, Yan Zhou
This paper considers uncertainty quantification for an elliptic nonlocal equation. In particular, it is assumed that the parameters which define the kernel in the nonlocal operator…
stat.CO2015★ 2 cited
Biased Online Parameter Inference for State-Space Models
Yan Zhou, Ajay Jasra
We consider Bayesian online static parameter estimation for state-space models. This is a very important problem, but is very computationally challenging as the state- of-the art m…