Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Deborshee Sen"'
Publikováno v:
Biometrika
High-dimensional data are routinely collected in many areas. We are particularly interested in Bayesian classification models in which one or more variables are imbalanced. Current Markov chain Monte Carlo algorithms for posterior computation are ine
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d62be8efe33659057d39f143950612db
https://doi.org/10.1093/biomet/asaa035
https://doi.org/10.1093/biomet/asaa035
An intriguing new class of piecewise deterministic Markov processes (PDMPs) has recently been proposed as an alternative to Markov chain Monte Carlo (MCMC). In order to facilitate the application to a larger class of problems, we propose a new class
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::87b0754931032f1eaffdffae1d18b54e
Autor:
Deborshee Sen
Sequential Monte Carlo methods are typically not straightforward to implement on parallel architectures. This is because standard resampling schemes involve communication between all particles. The $\alpha$-sequential Monte Carlo method was proposed
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c9fc3d2b324be72c05b2fa17333ee8bc
http://arxiv.org/abs/1904.09623
http://arxiv.org/abs/1904.09623
Publikováno v:
Journal of Statistical Computation and Simulation. 87:733-752
Pricing options is an important problem in financial engineering. In many scenarios of practical interest, financial option prices associated to an underlying asset reduces to computing an expectation w.r.t.~a diffusion process. In general, these exp
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::338213d772b251a4e861ce78a48d7359
https://doi.org/10.1080/00949655.2016.1224238
https://doi.org/10.1080/00949655.2016.1224238
Particle filters are a powerful and flexible tool for performing inference on state-space models. They involve a collection of samples evolving over time through a combination of sampling and re-sampling steps. The re-sampling step is necessary to en
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4e79f42f4a25fdc8f7ad6bfe47e48d73
http://arxiv.org/abs/1606.01016
http://arxiv.org/abs/1606.01016