selected publications

• academic article

  • Fast smoothing in switching approximations of non-linear and non-Gaussian models.  Computational Statistics & Data Analysis.  114:38-46. 2017
  • Optimal filtering in hidden and pairwise Gaussian Markov systems.  .  2016
  • Performance comparison across hidden, pairwise and triplet Markov model's estimators.  HAL (Le Centre pour la Communication Scientifique Directe).  2016

• blog posting

  • Triplet Markov models and fast smoothing in switching systems.  . 2018

• conference paper

  • Pairwise Markov models for stock index forecasting.  HAL (Le Centre pour la Communication Scientifique Directe). 2017
  • Unsupervised learning of asymmetric high-order autoregressive stochastic volatility model.  . 4780-4784. 2017
  • Unsupervised learning of Markov-switching stochastic volatility with an application to market data.  . 1-6. 2016
  • Fast filtering with new sparse transition Markov chains.  . 1-5. 2016
  • Lissage rapide dans des modèles non linéaires et non gaussiens.  HAL (Le Centre pour la Communication Scientifique Directe). 2015
  • Exact fast smoothing in switching models with application to stochastic volatility.  . 924-928. 2015