selected publications
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academic article
- A global stochastic optimization particle filter algorithm. Biometrika. 109:937-955. 2021
- General-order observation-driven models: Ergodicity and consistency of the maximum likelihood estimator. Electronic Journal of Statistics. 15. 2021
- Posterior consistency for partially observed Markov models. Stochastic Processes and their Applications. 130:733-759. 2019
- Asymptotic properties of quasi-maximum likelihood estimators in observation-driven time series models. Electronic Journal of Statistics. 11. 2017
- The maximizing set of the asymptotic normalized log-likelihood for partially observed Markov chains. The Annals of Applied Probability. 26. 2016
- Uniform Ergodicity of the Particle Gibbs Sampler. Scandinavian Journal of Statistics. 42:775-797. 2015
- On the use of Markov chain Monte Carlo methods for the sampling of mixture models: a statistical perspective. Statistics and Computing. 25:95-110. 2014
- Long-term stability of sequential Monte Carlo methods under verifiable conditions. The Annals of Applied Probability. 24. 2014
- Scaling Analysis of Delayed Rejection MCMC Methods. Methodology And Computing In Applied Probability. 16:811-838. 2013
- Calibrating the exponential Ornstein–Uhlenbeck multiscale stochastic volatility model. Quantitative Finance. 14:443-456. 2013
- On the long-term stability of bootstrap-type particle filters. IFAC Proceedings Volumes. 45:1131-1136. 2012
- Scaling analysis of multiple-try MCMC methods. Stochastic Processes and their Applications. 122:758-786. 2011
- Sequential Monte Carlo smoothing for general state space hidden Markov models. The Annals of Applied Probability. 21. 2011
- Consistency of the maximum likelihood estimator for general hidden Markov models. The Annals of Statistics. 39. 2011
- A vanilla Rao–Blackwellization of Metropolis–Hastings algorithms. The Annals of Statistics. 39. 2010
- Forgetting of the initial distribution for nonergodic Hidden Markov Chains. The Annals of Applied Probability. 20. 2010
- Forgetting of the initial condition for the filter in general state-space hidden Markov chain: a coupling approach. Electronic Journal of Probability. 14. 2009
- Optimality of the auxiliary particle filter. . 2009
- Adaptive importance sampling in general mixture classes. Statistics and Computing. 18:447-459. 2008
- Subgeometric rates of convergence of f-ergodic strong Markov processes. Stochastic Processes and their Applications. 119:897-923. 2008
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blog posting
- Asymptotic convergence of iterative optimization algorithms. arXiv (Cornell University). 2023
- Mixture weights optimisation for Alpha-Divergence Variational Inference. arXiv (Cornell University). 2021
- Monotonic alpha-divergence minimisation. HAL (Le Centre pour la Communication Scientifique Directe). 2021
- Necessary and sufficient conditions for the identifiability of observation-driven models. arXiv (Cornell University). 2019
- The $f$-Divergence Expectation Iteration Scheme. arXiv (Cornell University). 2019
- Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator. arXiv (Cornell University). 2012
- On the Forward Filtering Backward Smoothing particle approximations of the smoothing distribution in general state spaces models. arXiv (Cornell University). 2009
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book
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chapter
- (f, r)-Recurrence and Regularity. Springer series in operations research/Springer series in operations research and financial engineering. 361-383. 2018
- Atomic Chains. Springer series in operations research/Springer series in operations research and financial engineering. 119-144. 2018
- Central Limit Theorems. Springer series in operations research/Springer series in operations research and financial engineering. 489-522. 2018
- Concentration Inequalities. Springer series in operations research/Springer series in operations research and financial engineering. 575-601. 2018
- Convergence in the Wasserstein Distance. Springer series in operations research/Springer series in operations research and financial engineering. 455-488. 2018
- Convergence of Atomic Markov Chains. Springer series in operations research/Springer series in operations research and financial engineering. 165-189. 2018
- Coupling for Irreducible Kernels. Springer series in operations research/Springer series in operations research and financial engineering. 421-452. 2018
- Ergodic Theory for Markov Chains. Springer series in operations research/Springer series in operations research and financial engineering. 97-115. 2018
- Examples of Markov Chains. Springer series in operations research/Springer series in operations research and financial engineering. 27-52. 2018
- Feller and T-Kernels. Springer series in operations research/Springer series in operations research and financial engineering. 265-286. 2018
- Geometric Rates of Convergence. Springer series in operations research/Springer series in operations research and financial engineering. 339-359. 2018
- Geometric Recurrence and Regularity. Springer series in operations research/Springer series in operations research and financial engineering. 313-337. 2018
- Markov Chains on a Discrete State Space. Springer series in operations research/Springer series in operations research and financial engineering. 145-164. 2018
- Markov Chains: Basic Definitions. Springer series in operations research/Springer series in operations research and financial engineering. 3-25. 2018
- Martingales, Harmonic Functions and Poisson–Dirichlet Problems. Springer series in operations research/Springer series in operations research and financial engineering. 75-96. 2018
- Rates of Convergence for Atomic Markov Chains. Springer series in operations research/Springer series in operations research and financial engineering. 289-312. 2018
- Small Sets, Irreducibility, and Aperiodicity. Springer series in operations research/Springer series in operations research and financial engineering. 191-220. 2018
- Spectral Theory. Springer series in operations research/Springer series in operations research and financial engineering. 523-574. 2018
- Splitting Construction and Invariant Measures. Springer series in operations research/Springer series in operations research and financial engineering. 241-264. 2018
- Stopping Times and the Strong Markov Property. Springer series in operations research/Springer series in operations research and financial engineering. 53-74. 2018
- Subgeometric Rates of Convergence. Springer series in operations research/Springer series in operations research and financial engineering. 385-400. 2018
- Transience, Recurrence, and Harris Recurrence. Springer series in operations research/Springer series in operations research and financial engineering. 221-239. 2018
- Uniform and V-Geometric Ergodicity by Operator Methods. Springer series in operations research/Springer series in operations research and financial engineering. 401-419. 2018
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conference paper
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