On the Robustness of the Snell envelope (2010)
Del Moral, Pierre, Hu, Peng, Oudjane, Nadia, Rémillard, Bruno
We analyze the robustness properties of the Snell envelope backward evolution equation for discrete time models. We provide a general robustness lemma, and we apply this result to a series of...
On the Robustness of the Snell envelope (2010)
Del Moral, Pierre, Hu, Peng, Oudjane, Nadia, Rémillard, Bruno
We analyze the robustness properties of the Snell envelope backward evolution equation for discrete time models. We provide a general robustness lemma, and we apply this result to a series of...
Error Analysis of Approximated PCRLBs for Nonlinear Dynamics (2010)
Lei, Ming, Del Moral, Pierre, Baehr, Christophe
In practical nonlinear filtering, the assessment of achievable filtering performance is important. In this paper, we focus on the problem of efficiently approximate the posterior Cramer-Rao lower...
Sequential Monte Carlo Methods for Option Pricing (2010)
Jasra, Ajay, Del Moral, Pierre
In the following paper we provide a review and development of sequential Monte Carlo (SMC) methods for option pricing. SMC are a class of Monte Carlo-based algorithms, that are designed to...
Caron, François, Del Moral, Pierre, Doucet, Arnaud, Pace, Michele
We design a mean field and interacting particle interpretation of a class of spatial branching intensity models with spontaneous births arising in multiple-target tracking problems. In contrast to...
On the Conditional Distributions of Spatial Point Processes (2010)
Caron, François, Del Moral, Pierre, Doucet, Arnaud, Pace, Michele
We consider the problem of estimating a latent point process, given the realization of another point process on abstract measurable state spaces. First, we establish an expression of the conditional...
Caron, François, Del Moral, Pierre, Doucet, Arnaud, Pace, Michele
We design a mean field and interacting particle interpretation of a class of spatial branching intensity models with spontaneous births arising in multiple-target tracking problems. In contrast to...
On the Conditional Distributions of Spatial Point Processes (2010)
Caron, François, Del Moral, Pierre, Doucet, Arnaud, Pace, Michele
We consider the problem of estimating a latent point process, given the realization of another point process on abstract measurable state spaces. First, we establish an expression of the conditional...
Interacting path systems for credit portfolios risk analysis (2010)
Del Moral, Pierre, Patras, Frédéric
This Note introduces an algorithm (referred to as interacting path systems algorithm, IPaS) based on the first Author multilevel splitting technique and suited to the analysis of multiple defaults in...
Interacting path systems for credit portfolios risk analysis (2010)
Del Moral, Pierre, Patras, Frédéric
This Note introduces an algorithm (referred to as interacting path systems algorithm, IPaS) based on the first Author multilevel splitting technique and suited to the analysis of multiple defaults in...
Interacting path systems for credit portfolios risk analysis (2010)
Del Moral, Pierre, Patras, Frédéric
This Note introduces an algorithm (referred to as interacting path systems algorithm, IPaS) based on the first Author multilevel splitting technique and suited to the analysis of multiple defaults in...
Interacting path systems for credit portfolios risk analysis (2010)
Del Moral, Pierre, Patras, Frédéric
This Note introduces an algorithm (referred to as interacting path systems algorithm, IPaS) based on the first Author multilevel splitting technique and suited to the analysis of multiple defaults in...
Interacting path systems for credit portfolios risk analysis (2010)
Del Moral, Pierre, Patras, Frédéric
This Note introduces an algorithm (referred to as interacting path systems algorithm, IPaS) based on the first Author multilevel splitting technique and suited to the analysis of multiple defaults in...
Stability of Feynman-Kac formulae with path-dependent potentials (2009)
Chopin, Nicolas, Del Moral, Pierre, Rubenthaler, Sylvain
Several particle algorithms admit a Feynman-Kac representation such that the potential function may be expressed as a recursive function which depends on the complete state trajectory. An important...
Bercu, Bernard; INRIA Et Institut De Mathématiques De Bordeaux; Bernard.Bercu@math.u-bordeaux1.fr, Del Moral, Pierre; INRIA Et Institut De Mathématiques De Bordeaux; Pierre.Del-Moral@inria.fr, Doucet, Arnaud; University Of British Columbia; Arnaud@stat.ubc.ca
We present a functional central limit theorem for a new class of interacting Markov chain Monte Carlo algorithms. These stochastic algorithms have been recently introduced to solve non-linear...
A Backward Particle Interpretation of Feynman-Kac Formulae (2009)
Del Moral, Pierre, Doucet, Arnaud, Singh, Sumeetpal S.
We design a particle interpretation of Feynman-Kac measures on path spaces based on a backward Markovian representation combined with a traditional mean field particle interpretation of the flow of...
Tree based functional expansions for Feynman--Kac particle models (2009)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
We design exact polynomial expansions of a class of Feynman--Kac particle distributions. These expansions are finite and are parametrized by coalescent trees and other related combinatorial...
Rare event simulation for a static distribution (2009)
Cérou, Frédéric, Del Moral, Pierre, Furon, Teddy, Guyader, Arnaud
This paper discusses the rare event simulation for a fixed probability law. The motivation comes from problems occurring in watermarking and fingerprinting of digital contents, which is a new...
Rare event simulation for a static distribution (2009)
Cérou, Frédéric, Del Moral, Pierre, Furon, Teddy, Guyader, Arnaud
This paper discusses the rare event simulation for a fixed probability law. The motivation comes from problems occurring in watermarking and fingerprinting of digital contents, which is a new...
Concentration Inequalities for Mean Field Particle Models (2009)
Del Moral, Pierre, Rio, Emmanuel
This article is concerned with the fluctuations and the concentration properties of a general class of discrete generation and mean field particle interpretations of non linear measure valued...
Concentration Inequalities for Mean Field Particle Models (2009)
Del Moral, Pierre, Rio, Emmanuel
This article is concerned with the fluctuations and the concentration properties of a general class of discrete generation and mean field particle interpretations of non linear measure valued...
Concentration Inequalities for Mean Field Particle Models (2009)
Del Moral, Pierre, Rio, Emmanuel
This article is concerned with the fluctuations and the concentration properties of a general class of discrete generation and mean field particle interpretations of non linear measure valued...
Concentration Inequalities for Mean Field Particle Models (2009)
Del Moral, Pierre, Rio, Emmanuel
This article is concerned with the fluctuations and the concentration properties of a general class of discrete generation and mean field particle interpretations of non linear measure valued...
Concentration Inequalities for Mean Field Particle Models (2009)
Del Moral, Pierre, Rio, Emmanuel
This article is concerned with the fluctuations and the concentration properties of a general class of discrete generation and mean field particle interpretations of non linear measure valued...
Concentration Inequalities for Mean Field Particle Models (2009)
Del Moral, Pierre, Rio, Emmanuel
This article is concerned with the fluctuations and the concentration properties of a general class of discrete generation and mean field particle interpretations of non linear measure valued...
Convergence of U-statistics for interacting particle systems (2009)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
The convergence of U-statistics has been intensively studied for estimators based on families of i.i.d. random variables and variants of them. In most cases, the independence assumption is crucial....
Convergence of U-statistics for interacting particle systems (2009)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
The convergence of U-statistics has been intensively studied for estimators based on families of i.i.d. random variables and variants of them. In most cases, the independence assumption is crucial....
Particle methods: An introduction with applications (2009)
Del Moral, Pierre, Doucet, Arnaud
Interacting particle methods are increasingly used to sample from complex high-dimensional distributions. They have found a wide range of applications in applied probability, Bayesian statistics and...
Particle methods: An introduction with applications (2009)
Del Moral, Pierre, Doucet, Arnaud
Interacting particle methods are increasingly used to sample from complex high-dimensional distributions. They have found a wide range of applications in applied probability, Bayesian statistics and...
A Backward Particle Interpretation of Feynman-Kac Formulae (2009)
Del Moral, Pierre, Doucet, Arnaud, Singh, Sumeetpal
We design a particle interpretation of Feynman-Kac measures on path spaces based on a backward Markovian representation combined with a traditional mean field particle interpretation of the flow of...
A Backward Particle Interpretation of Feynman-Kac Formulae (2009)
Del Moral, Pierre, Doucet, Arnaud, Singh, Sumeetpal
We design a particle interpretation of Feynman-Kac measures on path spaces based on a backward Markovian representation combined with a traditional mean field particle interpretation of the flow of...
A Backward Particle Interpretation of Feynman-Kac Formulae (2009)
Del Moral, Pierre, Doucet, Arnaud, Singh, Sumeetpal
We design a particle interpretation of Feynman-Kac measures on path spaces based on a backward Markovian representation combined with a traditional mean field particle interpretation of the flow of...
A Backward Particle Interpretation of Feynman-Kac Formulae (2009)
Del Moral, Pierre, Doucet, Arnaud, Singh, Sumeetpal
We design a particle interpretation of Feynman-Kac measures on path spaces based on a backward Markovian representation combined with a traditional mean field particle interpretation of the flow of...
Stability of Feynman-Kac formulae with path-dependent potentials (2009)
Chopin, Nicolas, Del Moral, Pierre, Rubenthaler, Sylvain
Several particle algorithms admit a Feynman-Kac representation such that the potential function may be expressed as a recursive function which depends on the complete state trajectory. An important...
Stability of Feynman-Kac formulae with path-dependent potentials (2009)
Chopin, Nicolas, Del Moral, Pierre, Rubenthaler, Sylvain
Several particle algorithms admit a Feynman-Kac representation such that the potential function may be expressed as a recursive function which depends on the complete state trajectory. An important...
Convergence of U-statistics for interacting particle systems (2009)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
The convergence of U-statistics has been intensively studied for estimators based on families of i.i.d. random variables and variants of them. In most cases, the independence assumption is crucial....
Stability of Feynman-Kac formulae with path-dependent potentials (2009)
Chopin, Nicolas, Del Moral, Pierre, Rubenthaler, Sylvain
Several particle algorithms admit a Feynman-Kac representation such that the potential function may be expressed as a recursive function which depends on the complete state trajectory. An important...
A Backward Particle Interpretation of Feynman-Kac Formulae (2009)
Del Moral, Pierre, Doucet, Arnaud, Singh, Sumeetpal
We design a particle interpretation of Feynman-Kac measures on path spaces based on a backward Markovian representation combined with a traditional mean field particle interpretation of the flow of...
Rare event simulation for a static distribution (2009)
Cérou, Frédéric, Del Moral, Pierre, Furon, Teddy, Guyader, Arnaud
This paper discusses the rare event simulation for a fixed probability law. The motivation comes from problems occurring in watermarking and fingerprinting of digital contents, which is a new...
Particle methods: An introduction with applications (2009)
Del Moral, Pierre, Doucet, Arnaud
Interacting particle methods are increasingly used to sample from complex high-dimensional distributions. They have found a wide range of applications in applied probability, Bayesian statistics and...
Concentration Inequalities for Mean Field Particle Models (2009)
Del Moral, Pierre, Rio, Emmanuel
This article is concerned with the fluctuations and the concentration properties of a general class of discrete generation and mean field particle interpretations of non linear measure valued...
Convergence of U-statistics for interacting particle systems (2009)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
The convergence of U-statistics has been intensively studied for estimators based on families of i.i.d. random variables and variants of them. In most cases, the independence assumption is crucial....
Stability of Feynman-Kac formulae with path-dependent potentials (2009)
Chopin, Nicolas, Del Moral, Pierre, Rubenthaler, Sylvain
Several particle algorithms admit a Feynman-Kac representation such that the potential function may be expressed as a recursive function which depends on the complete state trajectory. An important...
A Backward Particle Interpretation of Feynman-Kac Formulae (2009)
Del Moral, Pierre, Doucet, Arnaud, Singh, Sumeetpal
We design a particle interpretation of Feynman-Kac measures on path spaces based on a backward Markovian representation combined with a traditional mean field particle interpretation of the flow of...
Rare event simulation for a static distribution (2009)
Cérou, Frédéric, Del Moral, Pierre, Furon, Teddy, Guyader, Arnaud
This paper discusses the rare event simulation for a fixed probability law. The motivation comes from problems occurring in watermarking and fingerprinting of digital contents, which is a new...
Particle methods: An introduction with applications (2009)
Del Moral, Pierre, Doucet, Arnaud
Interacting particle methods are increasingly used to sample from complex high-dimensional distributions. They have found a wide range of applications in applied probability, Bayesian statistics and...
Concentration Inequalities for Mean Field Particle Models (2009)
Del Moral, Pierre, Rio, Emmanuel
This article is concerned with the fluctuations and the concentration properties of a general class of discrete generation and mean field particle interpretations of non linear measure valued...
Stability of Feynman-Kac formulae with path-dependent potentials (2009)
Chopin, Nicolas, Del Moral, Pierre, Rubenthaler, Sylvain
Several particle algorithms admit a Feynman-Kac representation such that the potential function may be expressed as a recursive function which depends on the complete state trajectory. An important...
On Adaptive Resampling Procedures for Sequential Monte Carlo Methods (2008)
Del Moral, Pierre, Doucet, Arnaud, Jasra, Ajay
Sequential Monte Carlo (SMC) methods are a general class of techniques to sample approximately from any sequence of probability distributions. These distributions are approximated by a cloud of...
On Adaptive Resampling Procedures for Sequential Monte Carlo Methods (2008)
Del Moral, Pierre, Doucet, Arnaud, Jasra, Ajay
Sequential Monte Carlo (SMC) methods are a general class of techniques to sample approximately from any sequence of probability distributions. These distributions are approximated by a cloud of...
On Adaptive Resampling Procedures for Sequential Monte Carlo Methods (2008)
Del Moral, Pierre, Doucet, Arnaud, Jasra, Ajay
Sequential Monte Carlo (SMC) methods are a general class of techniques to sample approximately from any sequence of probability distributions. These distributions are approximated by a cloud of...
Rare event simulation for a static distribution (2008)
Cérou, Frédéric, Del Moral, Pierre, Furon, Teddy, Guyader, Arnaud
No abstract
Rare event simulation for a static distribution (2008)
Cérou, Frédéric, Del Moral, Pierre, Furon, Teddy, Guyader, Arnaud
No abstract
The convergence to equilibrium of neutral genetic models (2008)
Del Moral, Pierre, Miclo, Laurent, Patras, Frédéric, Rubenthaler, Sylvain
This article is concerned with the long time behavior of neutral genetic population models, with fixed population size. We design an explicit, finite, exact, genealogical tree based representation of...
The convergence to equilibrium of neutral genetic models (2008)
Del Moral, Pierre, Miclo, Laurent, Patras, Frédéric, Rubenthaler, Sylvain
This article is concerned with the long time behavior of neutral genetic population models, with fixed population size. We design an explicit, finite, exact, genealogical tree based representation of...
The convergence to equilibrium of neutral genetic models (2008)
Del Moral, Pierre, Miclo, Laurent, Patras, Frédéric, Rubenthaler, Sylvain
This article is concerned with the long time behavior of neutral genetic population models, with fixed population size. We design an explicit, finite, exact, genealogical tree based representation of...
The convergence to equilibrium of neutral genetic models (2008)
Del Moral, Pierre, Miclo, Laurent, Patras, Frédéric, Rubenthaler, Sylvain
This article is concerned with the long time behavior of neutral genetic population models, with fixed population size. We design an explicit, finite, exact, genealogical tree based representation of...
The convergence to equilibrium of neutral genetic models (2008)
Del Moral, Pierre, Miclo, Laurent, Patras, Frédéric, Rubenthaler, Sylvain
This article is concerned with the long time behavior of neutral genetic population models, with fixed population size. We design an explicit, finite, exact, genealogical tree based representation of...
The convergence to equilibrium of neutral genetic models (2008)
Del Moral, Pierre, Miclo, Laurent, Patras, Frédéric, Rubenthaler, Sylvain
This article is concerned with the long time behavior of neutral genetic population models, with fixed population size. We design an explicit, finite, exact, genealogical tree based representation of...
Fluctuations of Interacting Markov Chain Monte Carlo Models (2008)
Bercu, Bernard, Del Moral, Pierre, Doucet, Arnaud
We present a functional central limit theorem for a general class of interacting Markov chain Monte Carlo interpretations of discrete generation measure-valued equations. The path space models...
A Mean Field Theory of Nonlinear Filtering (2008)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
We present a mean field particle theory for the numerical approximation of Feynman-Kac path integrals in the context of nonlinear filtering. We show that the conditional distribution of the signal...
A Functional Central Limit Theorem for a Class of Interacting Markov Chain Monte Carlo Models (2008)
Bercu, Bernard, Del Moral, Pierre, Doucet, Arnaud
We present a functional central limit theorem for a new class of interaction Markov chain Monte Carlo interpretations of discrete generation measure valued equations. We provide an original...
Interacting Markov Chain Monte Carlo Methods For Solving Nonlinear Measure-Valued Equations (2008)
Del Moral, Pierre, Doucet, Arnaud
We present a new interacting Markov chain Monte Carlo methodology for solving numerically discrete-time measure-valued equations. The associated stochastic processes belong to the class of...
Fluctuations of Interacting Markov Chain Monte Carlo Models (2008)
Bercu, Bernard, Del Moral, Pierre, Doucet, Arnaud
We present a functional central limit theorem for a general class of interacting Markov chain Monte Carlo interpretations of discrete generation measure-valued equations. The path space models...
A Mean Field Theory of Nonlinear Filtering (2008)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
We present a mean field particle theory for the numerical approximation of Feynman-Kac path integrals in the context of nonlinear filtering. We show that the conditional distribution of the signal...
A Functional Central Limit Theorem for a Class of Interacting Markov Chain Monte Carlo Models (2008)
Bercu, Bernard, Del Moral, Pierre, Doucet, Arnaud
We present a functional central limit theorem for a new class of interaction Markov chain Monte Carlo interpretations of discrete generation measure valued equations. We provide an original...
Interacting Markov Chain Monte Carlo Methods For Solving Nonlinear Measure-Valued Equations (2008)
Del Moral, Pierre, Doucet, Arnaud
We present a new interacting Markov chain Monte Carlo methodology for solving numerically discrete-time measure-valued equations. The associated stochastic processes belong to the class of...
The convergence to equilibrium of neutral genetic models (2008)
Del Moral, Pierre, Miclo, Laurent, Patras, Frédéric, Rubenthaler, Sylvain
This article is concerned with the long time behavior of neutral genetic population models, with fixed population size. We design an explicit, finite, exact, genealogical tree based representation of...
The convergence to equilibrium of neutral genetic models (2008)
Del Moral, Pierre, Miclo, Laurent, Patras, Frédéric, Rubenthaler, Sylvain
This article is concerned with the long time behavior of neutral genetic population models, with fixed population size. We design an explicit, finite, exact, genealogical tree based representation of...
On Adaptive Resampling Procedures for Sequential Monte Carlo Methods (2008)
Del Moral, Pierre, Doucet, Arnaud, Jasra, Ajay
Sequential Monte Carlo (SMC) methods are a general class of techniques to sample approximately from any sequence of probability distributions. These distributions are approximated by a cloud of...
On Adaptive Resampling Procedures for Sequential Monte Carlo Methods (2008)
Del Moral, Pierre, Doucet, Arnaud, Jasra, Ajay
Sequential Monte Carlo (SMC) methods are a general class of techniques to sample approximately from any sequence of probability distributions. These distributions are approximated by a cloud of...
A non asymptotic variance theorem for unnormalized Feynman-Kac particle models (2008)
Cérou, Frédéric, Del Moral, Pierre, Guyader, Arnaud
We present a non asymptotic theorem for interacting particle approximations of unnormalized Feynman-Kac models. We provide an original stochastic analysis based on Feynman-Kac semigroup techniques...
A non asymptotic variance theorem for unnormalized Feynman-Kac particle models (2008)
Cérou, Frédéric, Del Moral, Pierre, Guyader, Arnaud
We present a non asymptotic theorem for interacting particle approximations of unnormalized Feynman-Kac models. We provide an original stochastic analysis based on Feynman-Kac semigroup techniques...
A Functional Central Limit Theorem for a Class of Interacting Markov Chain Monte Carlo Models (2008)
Bercu, Bernard, Del Moral, Pierre, Doucet, Arnaud
We present a functional central limit theorem for a new class of interaction Markov chain Monte Carlo interpretations of discrete generation measure valued equations. We provide an original...
A Functional Central Limit Theorem for a Class of Interacting Markov Chain Monte Carlo Models (2008)
Bercu, Bernard, Del Moral, Pierre, Doucet, Arnaud
We present a functional central limit theorem for a new class of interaction Markov chain Monte Carlo interpretations of discrete generation measure valued equations. We provide an original...
A Functional Central Limit Theorem for a Class of Interacting Markov Chain Monte Carlo Models (2008)
Bercu, Bernard, Del Moral, Pierre, Doucet, Arnaud
We present a functional central limit theorem for a new class of interaction Markov chain Monte Carlo interpretations of discrete generation measure valued equations. We provide an original...
Interacting Markov Chain Monte Carlo Methods For Solving Nonlinear Measure-Valued Equations (2008)
Del Moral, Pierre, Doucet, Arnaud
We present a new interacting Markov chain Monte Carlo methodology for solving numerically discrete-time measure-valued equations. The associated stochastic processes belong to the class of...
Fluctuations of Interacting Markov Chain Monte Carlo Models (2008)
Bercu, Bernard, Del Moral, Pierre, Doucet, Arnaud
We present a functional central limit theorem for a general class of interacting Markov chain Monte Carlo interpretations of discrete generation measure-valued equations. The path space models...
A Mean Field Theory of Nonlinear Filtering (2008)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
We present a mean field particle theory for the numerical approximation of Feynman-Kac path integrals in the context of nonlinear filtering. We show that the conditional distribution of the signal...
The convergence to equilibrium of neutral genetic models (2008)
Del Moral, Pierre, Miclo, Laurent, Patras, Frédéric, Rubenthaler, Sylvain
This article is concerned with the long time behavior of neutral genetic population models, with fixed population size. We design an explicit, finite, exact, genealogical tree based representation of...
On Adaptive Resampling Procedures for Sequential Monte Carlo Methods (2008)
Del Moral, Pierre, Doucet, Arnaud, Jasra, Ajay
Sequential Monte Carlo (SMC) methods are a general class of techniques to sample approximately from any sequence of probability distributions. These distributions are approximated by a cloud of...
A non asymptotic variance theorem for unnormalized Feynman-Kac particle models (2008)
Cérou, Frédéric, Del Moral, Pierre, Guyader, Arnaud
We present a non asymptotic theorem for interacting particle approximations of unnormalized Feynman-Kac models. We provide an original stochastic analysis based on Feynman-Kac semigroup techniques...
A Functional Central Limit Theorem for a Class of Interacting Markov Chain Monte Carlo Models (2008)
Bercu, Bernard, Del Moral, Pierre, Doucet, Arnaud
We present a functional central limit theorem for a new class of interaction Markov chain Monte Carlo interpretations of discrete generation measure valued equations. We provide an original...
Interacting Markov Chain Monte Carlo Methods For Solving Nonlinear Measure-Valued Equations (2008)
Del Moral, Pierre, Doucet, Arnaud
We present a new interacting Markov chain Monte Carlo methodology for solving numerically discrete-time measure-valued equations. The associated stochastic processes belong to the class of...
Fluctuations of Interacting Markov Chain Monte Carlo Models (2008)
Bercu, Bernard, Del Moral, Pierre, Doucet, Arnaud
We present a functional central limit theorem for a general class of interacting Markov chain Monte Carlo interpretations of discrete generation measure-valued equations. The path space models...
A Mean Field Theory of Nonlinear Filtering (2008)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
We present a mean field particle theory for the numerical approximation of Feynman-Kac path integrals in the context of nonlinear filtering. We show that the conditional distribution of the signal...
The convergence to equilibrium of neutral genetic models (2008)
Del Moral, Pierre, Miclo, Laurent, Patras, Frédéric, Rubenthaler, Sylvain
This article is concerned with the long time behavior of neutral genetic population models, with fixed population size. We design an explicit, finite, exact, genealogical tree based representation of...
On Adaptive Resampling Procedures for Sequential Monte Carlo Methods (2008)
Del Moral, Pierre, Doucet, Arnaud, Jasra, Ajay
Sequential Monte Carlo (SMC) methods are a general class of techniques to sample approximately from any sequence of probability distributions. These distributions are approximated by a cloud of...
A non asymptotic variance theorem for unnormalized Feynman-Kac particle models (2008)
Cérou, Frédéric, Del Moral, Pierre, Guyader, Arnaud
We present a non asymptotic theorem for interacting particle approximations of unnormalized Feynman-Kac models. We provide an original stochastic analysis based on Feynman-Kac semigroup techniques...
A note on convergence of the equi-energy sampler (2007)
Andrieu, Christophe, Jasra, Ajay, Doucet, Arnaud, Del Moral, Pierre
In a recent paper `The equi-energy sampler with applications statistical inference and statistical mechanics' [Ann. Stat. 34 (2006) 1581--1619], Kou, Zhou & Wong have presented a new stochastic...
The convergence to equilibrium of neutral genetic models (2007)
Del Moral, Pierre, Miclo, Laurent, Patras, Frédéric, Rubenthaler, Sylvain
This article is concerned with the long time behavior of neutral genetic population models, with fixed population size. We design an explicit, finite, exact, genealogical tree based representation of...
The convergence to equilibrium of neutral genetic models (2007)
Del Moral, Pierre, Miclo, Laurent, Patras, Frédéric, Rubenthaler, Sylvain
This article is concerned with the long time behavior of neutral genetic population models, with fixed population size. We design an explicit, finite, exact, genealogical tree based representation of...
The convergence to equilibrium of neutral genetic models (2007)
Del Moral, Pierre, Miclo, Laurent, Patras, Frédéric, Rubenthaler, Sylvain
This article is concerned with the long time behavior of neutral genetic population models, with fixed population size. We design an explicit, finite, exact, genealogical tree based representation of...
The convergence to equilibrium of neutral genetic models (2007)
Del Moral, Pierre, Miclo, Laurent, Patras, Frédéric, Rubenthaler, Sylvain
This article is concerned with the long time behavior of neutral genetic population models, with fixed population size. We design an explicit, finite, exact, genealogical tree based representation of...
The convergence to equilibrium of neutral genetic models (2007)
Del Moral, Pierre, Miclo, Laurent, Patras, Frédéric, Rubenthaler, Sylvain
This article is concerned with the long time behavior of neutral genetic population models, with fixed population size. We design an explicit, finite, exact, genealogical tree based representation of...
The convergence to equilibrium of neutral genetic models (2007)
Del Moral, Pierre, Miclo, Laurent, Patras, Frédéric, Rubenthaler, Sylvain
This article is concerned with the long time behavior of neutral genetic population models, with fixed population size. We design an explicit, finite, exact, genealogical tree based representation of...
The convergence to equilibrium of neutral genetic models (2007)
Del Moral, Pierre, Miclo, Laurent, Patras, Frédéric, Rubenthaler, Sylvain
This article is concerned with the long time behavior of neutral genetic population models, with fixed population size. We design an explicit, finite, exact, genealogical tree based representation of...
Coalescent tree based functional representations for some Feynman-Kac particle models (2006)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
We design a theoretic tree-based functional representation of a class of Feynman-Kac particle distributions, including an extension of the Wick product formula to interacting particle systems. These...
Coalescent tree based functional representations for some Feynman-Kac particle models (2006)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
We design a theoretic tree-based functional representation of a class of Feynman-Kac particle distributions, including an extension of the Wick product formula to interacting particle systems. These...
Coalescent tree based functional representations for some Feynman-Kac particle models (2006)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
We design a theoretic tree-based functional representation of a class of Feynman-Kac particle distributions, including an extension of the Wick product formula to interacting particle systems. These...
Genetic Genealogical Models in Rare Event Analysis (2006)
Cérou, Frédéric, Del Moral, Pierre, Le Gland, François, Lezaud, Pascal
We present in this article a genetic type interacting particle systems algorithm and a genealogical model for estimating a class of rare events arising in physics and network analysis. We represent...
Genealogical particle analysis of rare events (2006)
Del Moral, Pierre, Garnier, Josselin
In this paper an original interacting particle system approach is developed for studying Markov chains in rare event regimes. The proposed particle system is theoretically studied through a...
Genetic Genealogical Models in Rare Event Analysis (2006)
Cérou, Frédéric, Del Moral, Pierre, Le Gland, François, Lezaud, Pascal
Nous présentons dans cet article un algorithme de particules en interaction de type génétique et un modèle généalogique pour estimer une classe d'événements rares provenant de la physique et...
Genetic Genealogical Models in Rare Event Analysis (2006)
Cérou, Frédéric, Del Moral, Pierre, Le Gland, François, Lezaud, Pascal
Nous présentons dans cet article un algorithme de particules en interaction de type génétique et un modèle généalogique pour estimer une classe d'événements rares provenant de la physique et...
Genetic Genealogical Models in Rare Event Analysis (2006)
Cérou, Frédéric, Del Moral, Pierre, Le Gland, François, Lezaud, Pascal
We present in this article a genetic type interacting particle systems algorithm and a genealogical model for estimating a class of rare events arising in physics and network analysis. We represent...
Coalescent tree based functional representations for some Feynman-Kac particle models (2006)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
Nous proposons des représentations fonctionnelles en terme d'arbre coalescent, pour une classe de distributions particulaires de type Feynman-Kac, ce qui inclut en particulier une extension de la...
Coalescent tree based functional representations for some Feynman-Kac particle models (2006)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
We design a theoretic tree-based functional representation of a class of Feynman-Kac particle distributions, including an extension of the Wick product formula to interacting particle systems. These...
Coalescent tree based functional representations for some Feynman-Kac particle models (2006)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
Nous proposons des représentations fonctionnelles en terme d'arbre coalescent, pour une classe de distributions particulaires de type Feynman-Kac, ce qui inclut en particulier une extension de la...
Coalescent tree based functional representations for some Feynman-Kac particle models (2006)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
We design a theoretic tree-based functional representation of a class of Feynman-Kac particle distributions, including an extension of the Wick product formula to interacting particle systems. These...
Coalescent tree based functional representations for some Feynman-Kac particle models (2006)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
We design a theoretic tree-based functional representation of a class of Feynman-Kac particle distributions, including an extension of the Wick product formula to interacting particle systems. These...
Coalescent tree based functional representations for some Feynman-Kac particle models (2006)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
We design a theoretic tree-based functional representation of a class of Feynman-Kac particle distributions, including an extension of the Wick product formula to interacting particle systems. These...
Genetic Genealogical Models in Rare Event Analysis (2006)
Cérou, Frédéric, Del Moral, Pierre, Le Gland, François, Lezaud, Pascal
We present in this article a genetic type interacting particle systems algorithm and a genealogical model for estimating a class of rare events arising in physics and network analysis. We represent...
Coalescent tree based functional representations for some Feynman-Kac particle models (2006)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
We design a theoretic tree-based functional representation of a class of Feynman-Kac particle distributions, including an extension of the Wick product formula to interacting particle systems. These...
Coalescent tree based functional representations for some Feynman-Kac particle models (2006)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
Nous proposons des représentations fonctionnelles en terme d'arbre coalescent, pour une classe de distributions particulaires de type Feynman-Kac, ce qui inclut en particulier une extension de la...
Genetic Genealogical Models in Rare Event Analysis (2006)
Cérou, Frédéric, Del Moral, Pierre, Le Gland, François, Lezaud, Pascal
Nous présentons dans cet article un algorithme de particules en interaction de type génétique et un modèle généalogique pour estimer une classe d'événements rares provenant de la physique et...
Coalescent tree based functional representations for some Feynman-Kac particle models (2006)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
We design a theoretic tree-based functional representation of a class of Feynman-Kac particle distributions, including an extension of the Wick product formula to interacting particle systems. These...
Coalescent tree based functional representations for some Feynman-Kac particle models (2006)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
We design a theoretic tree-based functional representation of a class of Feynman-Kac particle distributions, including an extension of the Wick product formula to interacting particle systems. These...
Genetic Genealogical Models in Rare Event Analysis (2006)
Cérou, Frédéric, Del Moral, Pierre, Le Gland, François, Lezaud, Pascal
We present in this article a genetic type interacting particle systems algorithm and a genealogical model for estimating a class of rare events arising in physics and network analysis. We represent...
Genetic Genealogical Models in Rare Event Analysis (2006)
Cérou, Frédéric, Del Moral, Pierre, Le Gland, François, Lezaud, Pascal
Nous présentons dans cet article un algorithme de particules en interaction de type génétique et un modèle généalogique pour estimer une classe d'événements rares provenant de la physique et...
Coalescent tree based functional representations for some Feynman-Kac particle models (2006)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
We design a theoretic tree-based functional representation of a class of Feynman-Kac particle distributions, including an extension of the Wick product formula to interacting particle systems. These...
Coalescent tree based functional representations for some Feynman-Kac particle models (2006)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
Nous proposons des représentations fonctionnelles en terme d'arbre coalescent, pour une classe de distributions particulaires de type Feynman-Kac, ce qui inclut en particulier une extension de la...
Coalescent tree based functional representations for some Feynman-Kac particle models (2006)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
We design a theoretic tree-based functional representation of a class of Feynman-Kac particle distributions, including an extension of the Wick product formula to interacting particle systems. These...
Genetic Genealogical Models in Rare Event Analysis (2006)
Cérou, Frédéric, Del Moral, Pierre, Le Gland, François, Lezaud, Pascal
We present in this article a genetic type interacting particle systems algorithm and a genealogical model for estimating a class of rare events arising in physics and network analysis. We represent...
Genetic Genealogical Models in Rare Event Analysis (2006)
Cérou, Frédéric, Del Moral, Pierre, Le Gland, François, Lezaud, Pascal
Nous présentons dans cet article un algorithme de particules en interaction de type génétique et un modèle généalogique pour estimer une classe d'événements rares provenant de la physique et...
Coalescent tree based functional representations for some Feynman-Kac particle models (2006)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
We design a theoretic tree-based functional representation of a class of Feynman-Kac particle distributions, including an extension of the Wick product formula to interacting particle systems. These...
Coalescent tree based functional representations for some Feynman-Kac particle models (2006)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
Nous proposons des représentations fonctionnelles en terme d'arbre coalescent, pour une classe de distributions particulaires de type Feynman-Kac, ce qui inclut en particulier une extension de la...
Coalescent tree based functional representations for some Feynman-Kac particle models (2006)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
We design a theoretic tree-based functional representation of a class of Feynman-Kac particle distributions, including an extension of the Wick product formula to interacting particle systems. These...
Coalescent tree based functional representations for some Feynman-Kac particle models (2006)
Del Moral, Pierre, Patras, Frédéric, Rubenthaler, Sylvain
We design a theoretic tree-based functional representation of a class of Feynman-Kac particle distributions, including an extension of the Wick product formula to interacting particle systems. These...
Genealogical particle analysis of rare events (2005)
Del Moral, Pierre, Garnier, Josselin
In this paper an original interacting particle system approach is developed for studying Markov chains in rare event regimes. The proposed particle system is theoretically studied through a...
A Berry-Esseen theorem for Feynman-Kac and interacting particle models (2005)
Del Moral, Pierre, Tindel, Samy
In this paper we investigate the speed of convergence of the fluctuations of a general class of Feynman-Kac particle approximation models. We design an original approach based on new Berry-Esseen...
A Berry–Esseen theorem for Feynman–Kac and interacting particle models (2005)
Del Moral, Pierre, Tindel, Samy
In this paper we investigate the speed of convergence of the fluctuations of a general class of Feynman–Kac particle approximation models. We design an original approach based on new Berry–Esseen...
A Berry-Esseen theorem for Feynman-Kac and interacting particle models (2005)
Del Moral, Pierre, Tindel, Samy
In this paper we investigate the speed of convergence of the fluctuations of a general class of Feynman-Kac particle approximation models. We design an original approach based on new Berry-Esseen...
A Berry-Esseen theorem for Feynman-Kac and interacting particle models (2005)
Del Moral, Pierre, Tindel, Samy
In this paper we investigate the speed of convergence of the fluctuations of a general class of Feynman-Kac particle approximation models. We design an original approach based on new Berry-Esseen...
A Berry-Esseen theorem for Feynman-Kac and interacting particle models (2005)
Del Moral, Pierre, Tindel, Samy
In this paper we investigate the speed of convergence of the fluctuations of a general class of Feynman-Kac particle approximation models. We design an original approach based on new Berry-Esseen...
A Berry-Esseen theorem for Feynman-Kac and interacting particle models (2005)
Del Moral, Pierre, Tindel, Samy
In this paper we investigate the speed of convergence of the fluctuations of a general class of Feynman-Kac particle approximation models. We design an original approach based on new Berry-Esseen...
A Berry-Esseen theorem for Feynman-Kac and interacting particle models (2005)
Del Moral, Pierre, Tindel, Samy
In this paper we investigate the speed of convergence of the fluctuations of a general class of Feynman-Kac particle approximation models. We design an original approach based on new Berry-Esseen...
Méthodes monte carlo séquentielles pour l'analyse spectrale bayésienne (2003)
DAVY, Manuel, DEL MORAL, Pierre, DOUCET, Arnaud
Nous présentons l'application d'un nouvel algorithme de simulation stochastique - proposé par deux des auteurs - à la détection/estimation bayésienne de sinusoïdes noyées dans du bruit. Cet...
Méthodes monte carlo séquentielles pour l'analyse spectrale bayésienne (2003)
DAVY, Manuel, DEL MORAL, Pierre, DOUCET, Arnaud
Nous présentons l'application d'un nouvel algorithme de simulation stochastique - proposé par deux des auteurs - à la détection/estimation bayésienne de sinusoïdes noyées dans du bruit. Cet...
Sequential monte carlo samplers (2002)
Del Moral, Pierre, Doucet, Arnaud
This paper shows how one can use Sequential Monte Carlo methods to perform what is typically done using Markov chain Monte Carlo methods. This leads to a general class of principled integration and...
Del Moral, Pierre, Miclo, Laurent
Recently we have introduced Moran type interacting particle systems in order to numerically compute normalized continuous time Feynman-Kac formulae. These schemes can also be seen as approximating...
Del Moral, Pierre, Miclo, Laurent
Recently we have introduced Moran type interacting particle systems in order to numerically compute normalized continuous time Feynman-Kac formulae. These schemes can also be seen as approximating...
Del Moral, Pierre, Miclo, Laurent
Recently we have introduced Moran type interacting particle systems in order to numerically compute normalized continuous time Feynman-Kac formulae. These schemes can also be seen as approximating...
Del Moral, Pierre, Miclo, Laurent
Recently we have introduced Moran type interacting particle systems in order to numerically compute normalized continuous time Feynman-Kac formulae. These schemes can also be seen as approximating...
Del Moral, Pierre, Miclo, Laurent
Recently we have introduced Moran type interacting particle systems in order to numerically compute normalized continuous time Feynman-Kac formulae. These schemes can also be seen as approximating...
Del Moral, Pierre, Miclo, Laurent
Recently we have introduced Moran type interacting particle systems in order to numerically compute normalized continuous time Feynman-Kac formulae. These schemes can also be seen as approximating...
Del Moral, Pierre, Miclo, Laurent
Recently we have introduced Moran type interacting particle systems in order to numerically compute normalized continuous time Feynman-Kac formulae. These schemes can also be seen as approximating...