Search Results - Institute of Mathematical Statistics (IMS)

Penalising Model Component Complexity: A Principled, Practical Approach to Constructing Priors by Simpson, Daniel, Rue, Håvard, Riebler, Andrea, Martins, Thiago G., Sørbye, Sigrunn H.

“…In this paper, we introduce a new concept for constructing prior distributions. We exploit the natural nested structure inherent to many model components,…”
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NONASYMPTOTIC CONVERGENCE ANALYSIS FOR THE UNADJUSTED LANGEVIN ALGORITHM by Durmus, Alain, Moulines, Éric

“…In this paper, we study a method to sample from a target distribution π over ℝd having a positive density with respect to the Lebesgue measure, known up to a…”
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The van Trees Inequality in the Spirit of Hájek and Le Cam by Gassiat, Elisabeth, Stoltz, Gilles

“…We work out a version of the van Trees inequality in a Hajek--Le Cam spirit, i.e., under minimal assumptions that, in particular, involve no direct pointwise…”
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A RANDOM MATRIX APPROACH TO NEURAL NETWORKS by Louart, Cosme, Liao, Zhenyu, Couillet, Romain

“…This article studies the Gram random matrix model G = 1 T Σ ⊺ Σ , Σ = σ ( W X ) , classically found in the analysis of random feature maps and random neural…”
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AFFINE VOLTERRA PROCESSES by Jaber, Eduardo Abi, Larsson, Martin, Pulido, Sergio

“…We introduce affine Volterra processes, defined as solutions of certain stochastic convolution equations with affine coefficients. Classical affine diffusions…”
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On Particle Methods for Parameter Estimation in State-Space Models by Kantas, Nikolas, Doucet, Arnaud, Singh, Sumeetpal S., Maciejowski, Jan, Chopin, Nicolas

“…Nonlinear non-Gaussian state-space models are ubiquitous in statistics, econometrics, information engineering and signal processing. Particle methods, also…”
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Convergence Rate of the Euler-Maruyama Scheme Applied to Diffusion Processes with L Q − L ρ Drift Coefficient and Additive Noise by Jourdain, Benjamin, Menozzi, Stéphane

“…We are interested in the time discretization of stochastic differential equations with additive d-dimensional Brownian noise and L q − L ρ drift coefficient…”
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From the master equation to mean field game limit theory: a central limit theorem by Delarue, François, Lacker, Daniel, Ramanan, Kavita

“…Mean field games (MFGs) describe the limit, as $n$ tends to infinity, of stochastic differential games with $n$ players interacting with one another through…”
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FREIDLIN–WENTZELL LDP IN PATH SPACE FOR MCKEAN–VLASOV EQUATIONS AND THE FUNCTIONAL ITERATED LOGARITHM LAW by dos Reis, Gonçalo, Salkeld, William, Tugaut, Julian

“…We show two Freidlin–Wentzell-type Large Deviations Principles (LDP) in path space topologies (uniform and Hölder) for the solution process of McKean–Vlasov…”
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PERFECT HEDGING IN ROUGH HESTON MODELS by Euch, Omar El, Rosenbaum, Mathieu

“…Rough volatility models are known to reproduce the behavior of historical volatility data while at the same time fitting the volatility surface remarkably…”
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Large deviation Local Limit Theorems and limits of biconditioned Trees and Maps by Kortchemski, Igor, Marzouk, Cyril

“…We first establish new local limit estimates for the probability that a nondecreasing integer-valued random walk lies at time $n$ at an arbitrary value,…”
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The bi-dimensional Directed IDLA forest by Coupier, David, Rousselle, Arnaud, Chenavier, Nicolas

“…We investigate three types of internal diffusion limited aggregation (IDLA) models. These models are based on simple random walks on Z2 with infinitely many…”
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Time-uniform log-Sobolev inequalities and applications to propagation of chaos by Monmarché, Pierre, Ren, Zhenjie, Wang, Songbo

“…Time-uniform log-Sobolev inequalities (LSI) satisfied by solutions of semi-linear meanfield equations have recently appeared to be a key tool to obtain…”
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Statistical Modeling of Spatial Extremes by Davison, A. C., Padoan, S. A., Ribatet, M.

“…The areal modeling of the extremes of a natural process such as rainfall or temperature is important in environmental statistics; for example, understanding…”
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Multiple Imputation for Multilevel Data with Continuous and Binary Variables by Audigier, Vincent, White, Ian R., Jolani, Shahab, Debray, Thomas P. A., Quartagno, Matteo, Carpenter, James, van Buuren, Stef, Resche-Rigon, Matthieu

“…We present and compare multiple imputation methods for multilevel continuous and binary data where variables are systematically and sporadically missing. The…”
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Generalized Multiple Importance Sampling by Elvira, Víctor, Martino, Luca, Luengo, David, Bugallo, Mónica F.

“…Importance sampling (IS) methods are broadly used to approximate posterior distributions or their moments. In the standard IS approach, samples are drawn from…”
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Causal Inference Methods for Combining Randomized Trials and Observational Studies: A Review by Colnet, Bénédicte, Mayer, Imke, Chen, Guanhua, Dieng, Awa, Li, Ruohong, Varoquaux, Gaël, Vert, Jean-Philippe, Josse, Julie, Yang, Shu

“…With increasing data availability, causal effects can be evaluated across different data sets, both randomized controlled trials (RCTs) and observational…”
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On hydrodynamic limits in Sinai-type random environments by Landim, Claudio, Pacheco, Carlos, Sethuraman, Sunder, Xue, Jianfei

“…We investigate the hydrodynamical behavior of a system of random walks with zero-range interactions moving in a common `Sinai-type' random environment on a one…”
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Full $\Gamma$-expansion of reversible Markov chains level two large deviations rate functionals by Landim, Claudio, Misturini, Ricardo, Sau, Federico

“…Let $\Xi_n \subset \mathbb R^d$, $n\ge 1$, be a sequence of finite sets and consider a $\Xi_n$-valued, irreducible, reversible, continuous-time Markov chain…”
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Adaptive force biasing algorithms: New convergence results and tensor approximations of the bias by Ehrlacher, Virginie, Lelièvre, Tony, Monmarché, Pierre

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