School of Mathematics
Introduction to Twisted Particle Filters and Parameter Estimation in
Non-linear State-space Models. With Juha
Ala-Luhtala and Kari Heine. 2015. [arXiv]
estimation and allocation in the particle filter.
With Anthony Lee. 2015. [arXiv]
particle method for approximating principal eigen-functions
and related quantities. With Nikolas Kantas. 2015. [arXiv]
stability and instability of a distributed particle filter with local
exchange. With Kari Heine. 2015. [arXiv]
hidden Markov model for decoding and the analysis of replay in spike
trains. With Marc Box and Matt Jones. 2014. [arXiv]
resampling: asymptotics for particle filters
with constrained interactions.
With Kari Heine, Taylan Cemgil and Hakan Guldas. 2014. [arXiv]
sampling for nonhomogeneous Markov chains and hidden Markov models.
With Anthony Lee. 2014. [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. To appear. [arXiv]
Matlab files here.
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]