15 citations · 30 across the 7 of their papers we have counts for
7 papers
Estimating fast mean-reverting jumps in electricity market models
Deschatre Thomas, Féron Olivier, Hoffmann Marc
Based on empirical evidence of fast mean-reverting spikes, we model electricity price processes as the sum of a continuous Itô semimartingale and a a mean-reverting com…
Structural price model for electricity coupled markets
Clemence Alasseur, Olivier Feron
We propose a new structural model that can compute the electricity spot and forward prices in two coupled markets with limited interconnection and multiple fuels. We choose a struc…
Gradient Scan Gibbs Sampler: an efficient algorithm for high-dimensional Gaussian distributions
Olivier Féron, François Orieux, Jean-François Giovannelli
This paper deals with Gibbs samplers that include high dimensional conditional Gaussian distributions. It proposes an efficient algorithm that avoids the high dimensional Gaussian…
Efficient sampling of high-dimensional Gaussian fields: the non-stationary / non-sparse case
F. Orieux, O. Féron, J. -F. Giovannelli
This paper is devoted to the problem of sampling Gaussian fields in high dimension. Solutions exist for two specific structures of inverse covariance : sparse and circulant. The pr…
A hidden Markov Model for image fusion and their joint segmentation in medical image computing
Olivier Feron, Ali Mohammad-Djafari
In this work we propose a Bayesian framework for fully automated image fusion and their joint segmentation. More specifically, we consider the case where we have observed images of…
A Hidden Markov model for Bayesian data fusion of multivariate signals
Olivier Feron, Ali Mohammad-Djafari
In this work we propose a Bayesian framework for data fusion of multivariate signals which arises in imaging systems. More specifically, we consider the case where we have observed…