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07/31/2023
Parameter Inference for Degenerate Diffusion Processes
We study parametric inference for hypo-elliptic Stochastic Differential ...
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04/30/2023
A Class of Spatial Filtering Problems with Unknown Spatial Observations
We consider a class of high-dimensional spatial filtering problems, wher...
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11/29/2022
Parameter Estimation with Increased Precision for Elliptic and Hypo-elliptic Diffusions
This work aims at making a comprehensive contribution in the general are...
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11/14/2022
A Bayesian framework for genome-wide inference of DNA methylation levels
DNA methylation is an important epigenetic mark that has been studied ex...
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08/01/2022
Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market
Reliable estimates of volatility and correlation are fundamental in econ...
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03/22/2022
Bayesian Learning of Graph Substructures
Graphical models provide a powerful methodology for learning the conditi...
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03/06/2022
Unbiased Estimation using a Class of Diffusion Processes
We study the problem of unbiased estimation of expectations with respect...
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10/02/2021
A Lagged Particle Filter for Stable Filtering of certain High-Dimensional State-Space Models
We consider the problem of high-dimensional filtering of state-space mod...
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08/03/2021
The G-Wishart Weighted Proposal Algorithm: Efficient Posterior Computation for Gaussian Graphical Models
Gaussian graphical models can capture complex dependency structures amon...
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03/09/2021
Unbiased approximation of posteriors via coupled particle Markov chain Monte Carlo
Markov chain Monte Carlo (MCMC) is a powerful methodology for the approx...
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08/18/2020
Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models
We consider the problem of parameter estimation for a class of continuou...
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08/07/2020
MCMC Algorithms for Posteriors on Matrix Spaces
We study Markov chain Monte Carlo (MCMC) algorithms for target distribut...
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03/27/2020
Online Smoothing for Diffusion Processes Observed with Noise
We introduce a methodology for online estimation of smoothing expectatio...
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12/06/2019
Manifold Markov chain Monte Carlo methods for Bayesian inference in a wide class of diffusion models
Bayesian inference for partially observed, nonlinear diffusion models is...
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05/09/2019
On the Efficacy of Monte Carlo Implementation of CAVI
In Variational Inference (VI), coordinate-ascent and gradient-based appr...
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11/28/2018
Asymptotic Analysis of Model Selection Criteria for General Hidden Markov Models
The paper obtains analytical results for the asymptotic properties of Mo...
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10/12/2017