27 citations · 81 across the 21 of their papers we have counts for
Showing 2014Show all
3 papers · 1 filter
stat.ME2014★ 2 cited
Efficient strategy for the Markov chain Monte Carlo in high-dimension with heavy-tailed target probability distribution
Kengo Kamatani
The purpose of this paper is to introduce a new Markov chain Monte Carlo method and exhibit its efficiency by simulation and high-dimensional asymptotic theory. Key fact is that ou…
stat.CO2014★ 27 cited
A Stable Particle Filter in High-Dimensions
Alex Beskos, Dan Crisan, Ajay Jasra +2
We consider the numerical approximation of the filtering problem in high dimensions, that is, when the hidden state lies in with large. For low dimensional probl…
stat.ME2014★ 3 cited
Rate optimality of Random walk Metropolis algorithm in high-dimension with heavy-tailed target distribution
Kengo Kamatani
The choice of the increment distribution is crucial for the random-walk Metropolis-Hastings (RWM) algorithm. In this paper we study the optimal choice in high-dimension setting amo…