26 citations · 60 across the 7 of their papers we have counts for
8 papers
Exact Simulation of Diffusions via Brownian Bridge Range Reconstruction
Radu Herbei, Kumar Somnath
We develop an exact simulation algorithm for scalar diffusion paths and diffusion bridges when the Poisson potential is unbounded in both tails. The method reconstructs the realize…
Interval-Constrained Brownian Paths: Exact Interpolation and Extrapolation
Radu Herbei, Kumar Somnath
We study Brownian motion and Brownian bridge processes conditioned to remain in a fixed interval , focusing on the conditional distribution at a single time. For a Brownian…
The Taxicab Sampler: MCMC for Discrete Spaces with Application to Tree Models
Vincent Geels, Matthew Pratola, Radu Herbei
Motivated by the problem of exploring discrete but very complex state spaces in Bayesian models, we propose a novel Markov Chain Monte Carlo search algorithm: the taxicab sampler.…
Analyzing Stochastic Computer Models: A Review with Opportunities
Evan Baker, Pierre Barbillon, Arindam Fadikar +10
In modern science, computer models are often used to understand complex phenomena, and a thriving statistical community has grown around analyzing them. This review aims to bring a…
Bayesian Inference of Selection in the Wright-Fisher Diffusion Model
Jeffrey J. Gory, Radu Herbei, Laura S. Kubatko
The increasing availability of population-level allele frequency data across one or more related populations necessitates the development of methods that can efficiently estimate p…
Maximum Likelihood Estimation for Stochastic Differential Equations Using Sequential Kriging-Based Optimization
Grant Schneider, Peter F. Craigmile, Radu Herbei
Stochastic Differential Equations (SDEs) are used as statistical models in many disciplines. However, intractable likelihood functions for SDEs make inference challenging, and we n…