School of Mathematics
estimation and allocation in the particle filter.
With Anthony Lee. 2016. [arXiv]
resampling: asymptotics for particle filters with constrained interactions.
With Kari Heine, Taylan Cemgil and Hakan Guldas. 2014. [arXiv]
stability and instability of a distributed particle filter with local
exchange. With Kari Heine. Stochastic
Processes and their Applications. To appear. [arXiv]
particle method for approximating principal eigen-functions and related
quantities. With Nikolas Kantas.
Mathematics of Operations Research. To appear. [arXiv]
algorithm for approximating the second moment of the normalizing constant
estimate from a particle filter. With Svetoslav Kostov.
Methodology and Computing in Applied Probability. To appear. [arXiv]
hidden Markov model for decoding and the analysis of replay in spike
trains. With Marc Box and Matt Jones. Journal of Computational
Neuroscience. To appear. [arXiv] Matlab files here.
with respect to initial conditions in V-norm for nonlinear filters with
ergodic observations. With Mathieu Gerber. Journal
of Applied Probability. To appear. [arXiv]
Introduction to Twisted Particle Filters and Parameter Estimation in
Non-linear State-space Models. With Juha Ala-Luhtala and Kari
Heine. IEEE Transactions on Signal Processing. To appear. [arXiv]
sampling for nonhomogeneous Markov chains and hidden Markov models.
With Anthony Lee. The Annals of Applied Probability. To appear. [arXiv]
resampling for distributed sequential Monte Carlo.
With Anthony Lee. Statistical Analysis and Data Mining. [preprint]
the role of interaction in sequential Monte Carlo algorithms.
With Anthony Lee and Kari Heine. Bernoulli. 2016. [arXiv] Matlab
Particle Filters. With Anthony Lee. The Annals
of Statistics. 2014 [arXiv]
and the proofs: [.pdf]
properties of some particle filters. The Annals
of Applied Probability. 2013 [arXiv]
- Bayesian Learning of Noisy Markov
Decision Processes. With Sumeet Singh and Nicolas
Chopin. ACM TOMACS. 2013 [journal]
variance bounds for particle approximations of time-homogeneous Feynman
Kac formulae. With Nikolas Kantas and Ajay
Jasra. Stochastic Processes and their Applications. 2012. [arXiv]
Monte Carlo samplers: error bounds and insensitivity to initial conditions.
2012 Stochastic Analysis and Applications. [Preprint]
- Monte Carlo filtering of
piecewise-deterministic processes. With Adam
Johansen and Simon Godsill. Journal of Computational and Graphical
Statistics. 2011 [Preprint]
- Auxiliary Particle Implementation
of the Probability Hypothesis Density Filter With
Sumeet Singh and Simon Godsill. IEEE Transactions on Aerospace and
Electronic Systems. 2011 [Preprint]
- Discussion of Particle
Markov Chain Monte Carlo methods by Andrieu, Doucet and Holenstein,
Journal of the Royal Statistical Society Series B. [.pdf]
- Recent Developments in
Auxiliary Particle Filtering. With Adam Johansen. In
Barber, Cemgil and Chiappa (editors), Inference and Learning in Dynamic Models,
Cambridge University Press. [.pdf]
- An approximate likelihood
method for estimating the static parameters in multi-target tracking
models. In Barber, Cemgil and Chiappa (editors), Inference and
Learning in Dynamic Models, Cambridge University Press. [.pdf]
- Bayesian Statistical Methods
for Audio and Music Processing. With Taylan Cemgil, Simon
Godsill and Paul Peeling. In O'Hagan and West (editors), The Oxford
Handbook of Applied Bayesian Analysis. Oxford University Press. [.pdf]