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Open AccessRandomized time Riemannian Manifold Hamiltonian Monte Carlo
Hamiltonian Monte Carlo (HMC) algorithms, which combine numerical approximation of Hamiltonian dynamics on finite intervals with stochastic refreshment and Metropolis correction, are popular sampling schemes, ...
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Open AccessA 4D-Var method with flow-dependent background covariances for the shallow-water equations
The 4D-Var method for filtering partially observed nonlinear chaotic dynamical systems consists of finding the maximum a-posteriori (MAP) estimator of the initial condition of the system given observations ove...
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Open AccessOptimization Based Methods for Partially Observed Chaotic Systems
In this paper we consider filtering and smoothing of partially observed chaotic dynamical systems that are discretely observed, with an additive Gaussian noise in the observation. These models are found in a w...
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Article
Hypothesis testing for Markov chain Monte Carlo
Testing between hypotheses, when independent sampling is possible, is a well developed subject. In this paper, we propose hypothesis tests that are applicable when the samples are obtained using Markov chain M...
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Locally Perturbed Random Walks with Unbounded Jumps
Szász and Telcs (J. Stat. Phys. 26(3), 1981) have shown that for the diffusively scaled, simple symmetric random walk, weak convergence to the Brownian motion holds even in the case of local impurities if d≥2. Th...
