Multilevel sequential Monte Carlo samplers

• Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities

  2024 SIAM Journal on Scientific Computing article Economics, Econometrics and Finance Stochastic processes and financial applications

  2

  citations
• Analysis of a Class of Multilevel Markov Chain Monte Carlo Algorithms Based on Independent Metropolis–Hastings

  2023 SIAM/ASA Journal on Uncertainty Quantification article Mathematics Markov Chains and Monte Carlo Methods Open access

  11

  citations
• Multi-index ensemble Kalman filtering

  2022 Journal of Computational Physics article Computer Science Target Tracking and Data Fusion in Sensor Networks Open access

  7

  citations
• A Wasserstein coupled particle filter for multilevel estimation

  2022 Stochastic Analysis and Applications article Mathematics Markov Chains and Monte Carlo Methods Open access

  9

  citations
• Efficient importance sampling for large sums of independent and identically distributed random variables

  2021 Statistics and Computing article Decision Sciences Probability and Risk Models Open access

  1

  citations
• Efficient importance sampling for large sums of independent and identically distributed random variables

  2021 White Rose Research Online (University of Leeds, The University of Sheffield, University of York) article Mathematics Markov Chains and Monte Carlo Methods Open access

  11

  citations
• MULTILEVEL ENSEMBLE KALMAN FILTERING FOR SPATIO-TEMPORAL PROCESSES

  2020 Research Explorer (The University of Manchester) article Computer Science Target Tracking and Data Fusion in Sensor Networks Open access

  25

  citations
• Multilevel ensemble Kalman filtering for spatio-temporal processes

  2020 Numerische Mathematik article Computer Science Target Tracking and Data Fusion in Sensor Networks Open access

  2

  citations
• Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction networks

  2020 Statistics and Computing article Mathematics Markov Chains and Monte Carlo Methods Open access

  1

  citations
• Multilevel Ensemble Kalman Filtering based on a sample average of independent EnKF estimators

  2020 Foundations of Data Science article Computer Science Target Tracking and Data Fusion in Sensor Networks Open access

  14

  citations

10 results