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09/19/2023
Unbiased Parameter Estimation for Partially Observed Diffusions
In this article we consider the estimation of static parameters for part...
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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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06/14/2022
Unbiased Estimation using the Underdamped Langevin Dynamics
In this work we consider the unbiased estimation of expectations w.r.t. ...
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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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12/27/2021
Unbiased Parameter Inference for a Class of Partially Observed Levy-Process Models
We consider the problem of static Bayesian inference for partially obser...
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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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08/09/2021
Multilevel Estimation of Normalization Constants Using the Ensemble Kalman-Bucy Filter
In this article we consider the application of multilevel Monte Carlo, f...
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01/27/2021
Log-Normalization Constant Estimation using the Ensemble Kalman-Bucy Filter with Application to High-Dimensional Models
In this article we consider the estimation of the log-normalization cons...
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08/18/2020