488 citations · 3k across the 119 of their papers we have counts for
6 papers · 1 filter
On the ergodicity properties of some adaptive MCMC algorithms
Christophe Andrieu, Éric Moulines
In this paper we study the ergodicity properties of some adaptive Markov chain Monte Carlo algorithms (MCMC) that have been recently proposed in the literature. We prove that under…
Sequential Monte Carlo smoothing with application to parameter estimation in non-linear state space models
Jimmy Olsson, Olivier Cappé, Randal Douc +1
This paper concerns the use of sequential Monte Carlo methods (SMC) for smoothing in general state space models. A well-known problem when applying the standard SMC technique in th…
The ODE method for stability of skip-free Markov chains with applications to MCMC
Gersende Fort, Sean Meyn, Eric Moulines +1
Fluid limit techniques have become a central tool to analyze queueing networks over the last decade, with applications to performance analysis, simulation and optimization. In this…
On recursive estimation for time varying autoregressive processes
Eric Moulines, Pierre Priouret, François Roueff
This paper focuses on recursive estimation of time varying autoregressive processes in a nonparametric setting. The stability of the model is revisited and uniform results are prov…
Bounds on Regeneration Times and Limit Theorems for Subgeometric Markov Chains
Randal Douc, Arnaud Guillin, Eric Moulines
This paper studies limit theorems for Markov Chains with general state space under conditions which imply subgeometric ergodicity. We obtain a central limit theorem and moderate de…
A Wavelet Whittle estimator of the memory parameter of a non-stationary Gaussian time series
Eric Moulines, François Roueff, Murad S. Taqqu
We consider a time series with memory parameter . This time series is either stationary or can be made stationary after differencing a f…