488 citations · 3k across the 119 of their papers we have counts for
7 papers · 1 filter
Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator
Randal Douc, Paul Doukhan, Eric Moulines
This paper deals with a general class of observation-driven time series models with a special focus on time series of counts. We provide conditions under which there exist strict-s…
Adaptive Equi-Energy Sampler : Convergence and Illustration
Amandine Schreck, Gersende Fort, Eric Moulines
Markov chain Monte Carlo (MCMC) methods allow to sample a distribution known up to a multiplicative constant. Classical MCMC samplers are known to have very poor mixing properties…
Adaptive parallel tempering algorithm
Blazej Miasojedow, Eric Moulines, Matti Vihola
Parallel tempering is a generic Markov chain Monte Carlo sampling method which allows good mixing with multimodal target distributions, where conventional Metropolis-Hastings algor…
Price Jump Prediction in Limit Order Book
Ban Zheng, Eric Moulines, Frédéric Abergel
A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bi…
Convergence of adaptive and interacting Markov chain Monte Carlo algorithms
G. Fort, E. Moulines, P. Priouret
Adaptive and interacting Markov chain Monte Carlo algorithms (MCMC) have been recently introduced in the literature. These novel simulation algorithms are designed to increase the…
Long-term stability of sequential Monte Carlo methods under verifiable conditions
Randal Douc, Eric Moulines, Jimmy Olsson
This paper discusses particle filtering in general hidden Markov models (HMMs) and presents novel theoretical results on the long-term stability of bootstrap-type particle filters.…