Search Results - "Priouret, Pierre"
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1
A central limit theorem for adaptive and interacting Markov chains
Published in Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability (2013)“…Adaptive and interacting Markov Chains Monte Carlo (MCMC) algorithms are a novel class of non-Markovian algorithms aimed at improving the simulation efficiency…”
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The ODE Method for Stability of Skip-Free Markov Chains with Applications to MCMC
Published in The Annals of applied probability (01-04-2008)“…Fluid limit techniques have become a central tool to analyze queueing networks over the last decade, with applications to performance analysis, simulation and…”
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On Recursive Estimation for Time Varying Autoregressive Processes
Published in The Annals of statistics (01-12-2005)“…This paper focuses on recursive estimation of time varying autoregressive processes in a nonparametric setting. The stability of the model is revisited and…”
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A simple variance inequality for U-statistics of a Markov chain with applications
Published in Statistics & probability letters (01-06-2012)“…We establish a simple variance inequality for U-statistics whose underlying sequence of random variables is an ergodic Markov Chain. The constants in this…”
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Forgetting the initial distribution for Hidden Markov Models
Published in Stochastic processes and their applications (01-04-2009)“…The forgetting of the initial distribution for discrete Hidden Markov Models (HMM) is addressed: a new set of conditions is proposed, to establish the…”
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Newton's method on Riemannian manifolds: covariant alpha theory
Published in IMA journal of numerical analysis (01-07-2003)“…In this paper, Smale's α theory is generalized to the context of intrinsic Newton iteration on geodesically complete analytic Riemannian and Hermitian…”
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A central limit theorem for adaptive and interacting Markov chains
Published 13-07-2011“…Adaptive and interacting Markov Chains Monte Carlo (MCMC) algorithms are a novel class of non-Markovian algorithms aimed at improving the simulation efficiency…”
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A simple variance inequality for U-statistics of a Markov chain with applications
Published 13-07-2011“…Statistics and Probability Letters 82, 6 (2013) 1193--1201 We establish a simple variance inequality for U-statistics whose underlying sequence of random…”
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A robust algorithm for random parameter tracking
Published in IEEE transactions on automatic control (01-06-1994)“…An algorithm for tracking time-varying parameters is studied. It is shown to be exponentially stable independently of the choice of algorithm parameters. We…”
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Applications of a Kushner and Clark lemma to general classes of stochastic algorithms
Published in IEEE transactions on information theory (01-03-1984)“…Two general classes of stochastic algorithms are considered, including algorithms considered by Ljung as well as algorithms of the form \theta_{n+1} =…”
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On recursive estimation for time varying autoregressive processes
Published 02-03-2006“…Annals of Statistics 2005, Vol. 33, No. 6, 2610-2654 This paper focuses on recursive estimation of time varying autoregressive processes in a nonparametric…”
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Forgetting of the initial distribution for Hidden Markov Models
Published 28-03-2007“…Stochastic Processes and their Applications (2008) A paraitre The forgetting of the initial distribution for discrete Hidden Markov Models (HMM) is addressed:…”
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The ODE method for stability of skip-free Markov chains with applications to MCMC
Published 31-07-2006“…Annals of Applied Probability 18, 2 (2008) 664-707 Fluid limit techniques have become a central tool to analyze queueing networks over the last decade, with…”
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Newton Method on Riemannian Manifolds: Covariant Alpha-Theory
Published 09-09-2002“…IMA Journal of Numerical Analysis 2003 23(3):395-419; In this paper we study quantitative aspects of Newton method for finding zeros of mappings f: M_n -> R^n…”
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Stability of Stochastic Approximation under Verifiable Conditions
Published in Proceedings of the 44th IEEE Conference on Decision and Control (2005)“…In this paper we address the problem of the stability and convergence of the stochastic approximation procedure θ n+1 =θ n +γ n+1 [h(θ n )+ξ n+1 ]. The…”
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Conference Proceeding
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Convergence avec une probabilité (1-ε) d’algorithmes stochastiques. Application au cas de l’égaliseur aveugle
Published in Annales des télécommunications (01-05-1986)Get full text
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Martingales and Markov Chains: Solved Exercises and Elements of Theory
Published in Journal of the American Statistical Association (01-09-2003)“…Embrechts reviews Martingales and Markov Chains: Solved Exercises and Elements of Theory by Paolo Baldi, Laurent Mazliak and Pierre Priouret…”
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Book Review Journal Article -
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Tracking performance analysis of the forgetting factor RLS algorithm
Published in Proceedings of the 31st IEEE Conference on Decision and Control (1992)“…The authors present a theoretical analysis for the performance of the standard forgetting factor recursive least squares (RLS) algorithm used in the tracking…”
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Conference Proceeding -
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