Computational Doobs h-transforms for Online Filtering
Chopin, N., Fulop, A., Heng, J., & Thierry, A.H (2022). Computational Doobs h-transforms for Online Filtering.
Articles
Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models
Fulop, A., Heng, J., & Li, J. (2021). Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models. Available at SSRN 3878869.
Estimating and Testing Long-Run Risk Models: International Evidence
Fulop, A., Li, J., Liu, H., and Yan, C., 2021. Estimating and Testing Long-Run Risk Models: International Evidence. Available at SSRN 3857366.
Diffusion Schrödinger Bridge with Applications to Score-Based Generative Modeling
De Bortoli, V., Thornton, J., Heng, J. and Doucet, A., 2021. Diffusion Schrödinger Bridge with Applications to Score-Based Generative Modeling. arXiv preprint arXiv:2106.01357.
On Unbiased Score Estimation for Partially Observed Diffusions
Heng, J., Houssineau, J. and Jasra, A., 2021. On unbiased score estimation for partially observed diffusions. arXiv preprint arXiv:2105.04912.
News-Based Indices on Country Fundamentals
Fulop, A. and Kocsis, Z., 2021. News-Based Indices on Country Fundamentals. Available at SSRN 3132278.
Bayesian estimation of long-run risk models using sequential Monte Carlo
Fulop, A., Heng, J., Li, J. and Liu, H., 2021. Bayesian estimation of long-run risk models using sequential Monte Carlo. Journal of Econometrics.
Sequential Monte Carlo algorithms for agent-based models of disease transmission
Ju, N., Heng, J. and Jacob, P.E., 2021. Sequential Monte Carlo algorithms for agent-based models of disease transmission. arXiv preprint arXiv:2101.12156.
An invitation to sequential Monte Carlo samplers
Dai, C., Heng, J., Jacob, P.E. and Whiteley, N., 2020. An invitation to sequential Monte Carlo samplers. arXiv preprint arXiv:2007.11936.
A simple Markov chain for independent Bernoulli variables conditioned on their sum
Heng, J., Jacob, P.E. and Ju, N., 2020. A simple Markov chain for independent Bernoulli variables conditioned on their sum. arXiv preprint arXiv:2012.03103.