113 citations · 173 across the 13 of their papers we have counts for
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stat.CO2015★ 9 cited
Multilevel particle filter
Ajay Jasra, Kengo Kamatani, Kody J. H. Law +1
In this paper the filtering of partially observed diffusions, with discrete-time observations, is considered. It is assumed that only biased approximations of the diffusion can be…
stat.CO2015★ 113 cited
Multilevel Sequential Monte Carlo Samplers
Alexandros Beskos, Ajay Jasra, Kody Law +2
In this article we consider the approximation of expectations w.r.t. probability distributions associated to the solution of partial differential equations (PDEs); this scenario ap…
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…