2 papers
stat.ME2017
Continious-time Importance Sampling: Monte Carlo Methods which Avoid Time-discretisation Error
Paul Fearnhead, Krzystof Latuszynski, Gareth O. Roberts +1
In this paper we develop a continuous-time sequential importance sampling (CIS) algorithm which eliminates time-discretisation errors and provides online unbiased estimation for co…
stat.ME2011
Markov chain Monte Carlo for exact inference for diffusions
Giorgos Sermaidis, Omiros Papaspiliopoulos, Gareth O. Roberts +2
We develop exact Markov chain Monte Carlo methods for discretely-sampled, directly and indirectly observed diffusions. The qualification "exact" refers to the fact that the invaria…