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Sparse Change-Point VAR models
Dufays, A., Zhuo, L., Rombouts, J. and Song, Y., 2019. Sparse Change-Point VAR models. Available at SSRN 3461692.
Schrödinger Bridge Samplers
Bernton, E., Heng, J., Doucet, A. and Jacob, P.E., 2019. Schrödinger Bridge Samplers. arXiv preprint arXiv:1912.13170.
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.
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.
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.
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.
News-Based Indices on Country Fundamentals
Fulop, A. and Kocsis, Z., 2021. News-Based Indices on Country Fundamentals. Available at SSRN 3132278.
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.
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.
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.
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.
Computational Doobs h-transforms for Online Filtering
Chopin, N., Fulop, A., Heng, J., & Thierry, A.H (2022). Computational Doobs h-transforms for Online Filtering.