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stat.ME2021
Efficient Bayesian model selection for coupled hidden Markov models with application to infectious diseases
Jake Carson, Trevelyan J. McKinley, Peter Neal +1
Performing model selection for coupled hidden Markov models (CHMMs) is highly challenging, owing to the large dimension of the hidden state process. Whilst in principle the hidden…
stat.ME2016
Unbiased local solutions of partial differential equations via the Feynman-Kac Identities
Jake Carson, Murray Pollock, Mark Girolami
The Feynman-Kac formulae (FKF) express local solutions of partial differential equations (PDEs) as expectations with respect to some complementary stochastic differential equation…