488 citations · 3k across the 119 of their papers we have counts for
5 papers · 1 filter
Log-average periodogram estimator of the memory parameter
Valderio Reisen, Eric Moulines, Philippe Soulier +1
This paper introduces a semiparametric regression estimator of the memory parameter for long-memory time series process. It is based on the regression in a neighborhood of the zero…
Online EM Algorithm for Latent Data Models
Olivier Cappé, Eric Moulines
In this contribution, we propose a generic online (also sometimes called adaptive or recursive) version of the Expectation-Maximisation (EM) algorithm applicable to latent variable…
On the auxiliary particle filter
Randal Douc, Eric Moulines, Jimmy Olsson
In this article we study asymptotic properties of weighted samples produced by the auxiliary particle filter (APF) proposed by pitt and shephard (1999). Besides establishing a cent…
Subgeometric ergodicity of Markov chains
Randal Douc, Eric Moulines, Philippe Soulier
The goal of this paper is to give a short and self contained proof of general bounds for subgeometric rates of convergence, under practical conditions. The main result whose proof,…
Forgetting of the initial distribution for Hidden Markov Models
Randal Douc, Gersende Fort, Eric Moulines +1
The forgetting of the initial distribution for discrete Hidden Markov Models (HMM) is addressed: a new set of conditions is proposed, to establish the forgetting property of the fi…