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stat.ME2025
Bayesian Inference for Non-Synchronously Observed Diffusions
Ajay Jasra, Kengo Kamatani, Amin Wu
We consider the problem of Bayesian inference for bi-variate data observed in time but with observation times which occur non-synchronously. In particular, this occurs in a wide va…
stat.ME2023
Scaling of Piecewise Deterministic Monte Carlo for Anisotropic Targets
Joris Bierkens, Kengo Kamatani, Gareth O. Roberts
Piecewise deterministic Markov processes (PDMPs) are a type of continuous-time Markov process that combine deterministic flows with jumps. Recently, PDMPs have garnered attention w…
stat.ME2016
Ergodicity of Markov chain Monte Carlo with reversible proposal
Kengo Kamatani
We describe ergodic properties of some Metropolis-Hastings (MH) algorithms for heavy-tailed target distributions. The analysis usually falls into sub-geometric ergodicity framework…