Beskos, Alexandros; Roberts, Gareth; Thiery, Alexandre; Pillai, Natesh Asymptotic analysis of the random walk metropolis algorithm on ridged densities. (English) Zbl 06974770 Ann. Appl. Probab. 28, No. 5, 2966-3001 (2018). MSC: 65C05 65C40 65C30 PDFBibTeX XMLCite \textit{A. Beskos} et al., Ann. Appl. Probab. 28, No. 5, 2966--3001 (2018; Zbl 06974770) Full Text: DOI arXiv Euclid
Gerber, Mathieu; Chopin, Nicolas [Pitt, Michael; Doucet, Arnaud; Oates, Chris J.; Simpson, Daniel; Girolami, Mark; Pollock, M.; Johansen, Adam M.; Łatuszyński, K.; Roberts, G. O.; Finke, Axel; Hetland, Andreas L.; Lee, Anthony; Critchley, Frank; Nguyen, Dao; Arbel, Julyan; Prünster, Igor; Bao, Le; Beskos, Alexandros; Jasra, Ajay; Castro, Daniela; Porcu, Emilio; Coad, D. S.; Weng, R. C.; Everitt, Richard G.; Gandy, Axel; Lau, F. Din-Houn; He, Zhijian; Owen, Art B.; Paulin, Daniel; Thiery, Alexandre H.; Künsch, Hans R.; Lacoste-Julien, Simon; Lindsten, Fredrik; L’Ecuyer, Pierre; Lemieux, Christiane; Singh, Sumeetpal S.; Liu, Han; Zeng, Yong; Mateu, Jorge; Papaspiliopoulos, Omiros; Robert, Christian P.; Rudolf, Daniel; Ryder, Robin J.; Telesca, Donatello; Wong, Weng Kee; Tong, Howell; Wu, Ruochen; Linton, Oliver] Sequential quasi Monte Carlo. With discussion and authors’ reply. (English) Zbl 1414.62109 J. R. Stat. Soc., Ser. B, Stat. Methodol. 77, No. 3, 509-579 (2015). MSC: 62G05 65C60 PDFBibTeX XMLCite \textit{M. Gerber} and \textit{N. Chopin}, J. R. Stat. Soc., Ser. B, Stat. Methodol. 77, No. 3, 509--579 (2015; Zbl 1414.62109) Full Text: DOI arXiv
Beskos, Alexandros; Pillai, Natesh; Roberts, Gareth; Sanz-Serna, Jesus-Maria; Stuart, Andrew Optimal tuning of the hybrid Monte Carlo algorithm. (English) Zbl 1287.60090 Bernoulli 19, No. 5A, 1501-1534 (2013). MSC: 60J22 PDFBibTeX XMLCite \textit{A. Beskos} et al., Bernoulli 19, No. 5A, 1501--1534 (2013; Zbl 1287.60090) Full Text: DOI arXiv
Sermaidis, Giorgos; Papaspiliopoulos, Omiros; Roberts, Gareth O.; Beskos, Alexandros; Fearnhead, Paul Markov chain Monte Carlo for exact inference for diffusions. (English) Zbl 1328.65015 Scand. J. Stat. 40, No. 2, 294-321 (2013). MSC: 65C40 60J60 60H10 PDFBibTeX XMLCite \textit{G. Sermaidis} et al., Scand. J. Stat. 40, No. 2, 294--321 (2013; Zbl 1328.65015) Full Text: DOI arXiv
Beskos, Alexandros; Peluchetti, Stefano; Roberts, Gareth \(\varepsilon\)-strong simulation of the Brownian path. (English) Zbl 1263.65007 Bernoulli 18, No. 4, 1223-1248 (2012). Reviewer: Abass Sagna (Evry) MSC: 65C50 60J65 65C05 91B24 91G60 PDFBibTeX XMLCite \textit{A. Beskos} et al., Bernoulli 18, No. 4, 1223--1248 (2012; Zbl 1263.65007) Full Text: DOI arXiv Euclid
Girolami, Mark; Calderhead, Ben [Sanz-Serna, J. M.; Rasmussen, Carl Edward; Doucet, Arnaud; Jacob, Pierre; Johansen, Adam M.; Honkela, Antti; Guillas, Serge; Barthelmé, Simon; Chopin, Nicolas; Filippone, Maurizio; Critchley, Frank; Friel, N.; Wyse, J.; Stathopoulos, Vassilios; Robert, Christian P.; Fearnhead, Paul; Beskos, A.; Stuart, A. M.; Skilling, John; Anaya-Izquierdo, Karim; Marriott, Paul; Archambeau, Cedric; Bouchard, Guillaume; Beffy, Magali; Bhadra, Anindya; Bornn, Luke; Cornebise, Julien; Campbell, David A.; Cao, Jiguo; Wang, Liangliang; Chin, Siu A.; Coolen, A. C. C.; Peters, Gareth; Cox, D. R.; Draper, David; Dryden, Ian; Eguchi, Shinto; Gelman, Andrew; Golightly, Andrew; Boys, Richard J.; Griffin, Jim; Gripton, Adam; Christie, Mike; Guerrera, Thiago; Rue, Håvard; Simpson, Daniel; Higham, Desmond J.; Holmes, Chris; Husmeier, Dirk; Ikeda, Shiro; Jasra, Ajay; Singh, Sumeetpal; Jupp, Peter; Kypraios, Theodore; Łatuszyński, Krzysztof; Roberts, Gareth O.; Thiéry, Alexandre; Wolny, Katarzyna; Mansinghka, V.; Marin, Jean-Michel; Meng, Xiao-Li; Mira, Antonietta; Haario, Heikki; Murray, Iain; Adams, Ryan Prescott; Parry, Matthew F.; Penny, W. D.; Pettitt, Anthony; Pillai, Natesh S.; Rao, C. R.; Roy, Daniel M.; Salimans, Tim; Schmidl, D.; Theis, F. J.; Sermaidis, Giorgos; Srivastava, Anuj; Stephens, David A.; Titsias, M. K.; Transtrum, Mark K.; Chen, Yanjiun; Machta, Benjamin B.; Sethna, James P.; Gutenkunst, Ryan; Vehtari, Aki; Vanhatalo, Jarno; Welling, Max; Winther, Ole; Opper, Manfred] Riemann manifold Langevin and Hamiltonian Monte Carlo methods. With discussion and authors’ reply. (English) Zbl 1411.62071 J. R. Stat. Soc., Ser. B, Stat. Methodol. 73, No. 2, 123-214 (2011). MSC: 62F15 62H11 65C60 65C05 62-02 PDFBibTeX XMLCite \textit{M. Girolami} and \textit{B. Calderhead}, J. R. Stat. Soc., Ser. B, Stat. Methodol. 73, No. 2, 123--214 (2011; Zbl 1411.62071) Full Text: DOI
Beskos, Alexandros; Roberts, Gareth; Stuart, Andrew Optimal scalings for local Metropolis-Hastings chains on nonproduct targets in high dimensions. (English) Zbl 1172.60328 Ann. Appl. Probab. 19, No. 3, 863-898 (2009). MSC: 60J22 65C40 PDFBibTeX XMLCite \textit{A. Beskos} et al., Ann. Appl. Probab. 19, No. 3, 863--898 (2009; Zbl 1172.60328) Full Text: DOI arXiv
Beskos, Alexandros; Papaspiliopoulos, Omiros; Roberts, Gareth Monte Carlo maximum likelihood estimation for discretely observed diffusion processes. (English) Zbl 1169.65004 Ann. Stat. 37, No. 1, 223-245 (2009). Reviewer: Dominique Lepingle (Orléans) MSC: 65C30 62M05 60J60 65C05 60H10 60H35 34F05 PDFBibTeX XMLCite \textit{A. Beskos} et al., Ann. Stat. 37, No. 1, 223--245 (2009; Zbl 1169.65004) Full Text: DOI arXiv Euclid
Beskos, Alexandros; Roberts, Gareth; Stuart, Andrew; Voss, Jochen MCMC methods for diffusion bridges. (English) Zbl 1159.65007 Stoch. Dyn. 8, No. 3, 319-350 (2008). Reviewer: Serghey G. Suvorov (Donetsk) MSC: 65C30 65C05 60H35 60H15 35R60 65C40 60G50 PDFBibTeX XMLCite \textit{A. Beskos} et al., Stoch. Dyn. 8, No. 3, 319--350 (2008; Zbl 1159.65007) Full Text: DOI
Beskos, Alexandros; Papaspiliopoulos, Omiros; Roberts, Gareth O. A factorisation of diffusion measure and finite sample path constructions. (English) Zbl 1152.65013 Methodol. Comput. Appl. Probab. 10, No. 1, 85-104 (2008). Reviewer: Serghey G. Suvorov (Donetsk) MSC: 65C50 60J60 60J65 PDFBibTeX XMLCite \textit{A. Beskos} et al., Methodol. Comput. Appl. Probab. 10, No. 1, 85--104 (2008; Zbl 1152.65013) Full Text: DOI Link
Beskos, Alexandros; Papaspiliopoulos, Omiros; Roberts, Gareth O. Retrospective exact simulation of diffusion sample paths with applications. (English) Zbl 1129.60073 Bernoulli 12, No. 6, 1077-1098 (2006). Reviewer: Nijole Kalinauskaitė (Vilnius) MSC: 60J60 60G17 PDFBibTeX XMLCite \textit{A. Beskos} et al., Bernoulli 12, No. 6, 1077--1098 (2006; Zbl 1129.60073) Full Text: DOI Euclid
Beskos, Alexandros; Papaspiliopoulos, Omiros; Roberts, Gareth O.; Fearnhead, Paul Exact and computationally efficient likelihood-based estimation for discretely observed diffusion processes (With discussion). (English) Zbl 1100.62079 J. R. Stat. Soc., Ser. B, Stat. Methodol. 68, No. 3, 333-382 (2006). MSC: 62M05 65C05 62F15 65C40 PDFBibTeX XMLCite \textit{A. Beskos} et al., J. R. Stat. Soc., Ser. B, Stat. Methodol. 68, No. 3, 333--382 (2006; Zbl 1100.62079) Full Text: DOI
Beskos, A.; Roberts, G. O. One-shot CFTP; application to a class of truncated Gaussian densities. (English) Zbl 1103.65013 Methodol. Comput. Appl. Probab. 7, No. 4, 407-437 (2005). Reviewer: Aniket Mahanti (Calgary) MSC: 65C60 62H30 65C40 PDFBibTeX XMLCite \textit{A. Beskos} and \textit{G. O. Roberts}, Methodol. Comput. Appl. Probab. 7, No. 4, 407--437 (2005; Zbl 1103.65013) Full Text: DOI Link
Beskos, Alexandros; Roberts, Gareth O. Exact simulation of diffusions. (English) Zbl 1101.60060 Ann. Appl. Probab. 15, No. 4, 2422-2444 (2005). Reviewer: Heinrich Hering (Rockenberg) MSC: 60J60 65C05 PDFBibTeX XMLCite \textit{A. Beskos} and \textit{G. O. Roberts}, Ann. Appl. Probab. 15, No. 4, 2422--2444 (2005; Zbl 1101.60060) Full Text: DOI arXiv