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We study a single-server priority queue with a finite number of classes, in which the arrivals follow a fractional Poisson process of index $\alpha \in (0,1]$ and the service completions are triggered by an independent fractional Poisson…
We study the problem of detecting change points (CPs) that are characterized by a subset of dimensions in a multi-dimensional sequence. A method for detecting those CPs can be formulated as a two-stage method: one for selecting relevant…
We introduce and study randomized sequential importance sampling algorithms for estimating the number of perfect matchings in bipartite graphs. In analyzing their performance, we establish various non-standard central limit theorems. We…
We propose a sequential Markov chain Monte Carlo (SMCMC) algorithm to sample from a sequence of probability distributions, corresponding to posterior distributions at different times in on-line applications. SMCMC proceeds as in usual MCMC…
A recently introduced Importance Sampling strategy based on a least squares optimization is applied to the Monte Carlo simulation of Libor Market Models. Such Least Squares Importance Sampling (LSIS) allows the automatic optimization of the…
In contingency table analysis, one is interested in testing whether a model of interest (e.g., the independent or symmetry model) holds using goodness-of-fit tests. When the null hypothesis where the model is true is rejected, the interest…
A Bayesian approach to the classification problem is proposed in which random partitions play a central role. It is argued that the partitioning approach has the capacity to take advantage of a variety of large-scale spatial structures, if…
This paper gives new, efficient algorithms for approximate uniform sampling of contingency tables and integer partitions. The algorithms use the Burnside process, a general algorithm for sampling a uniform orbit of a finite group acting on…
Annealed importance sampling (AIS) is the gold standard for estimating partition functions or marginal likelihoods, corresponding to importance sampling over a path of distributions between a tractable base and an unnormalized target. While…
We investigate the stability of a Sequential Monte Carlo (SMC) method applied to the problem of sampling from a target distribution on $\mathbb{R}^d$ for large $d$. It is well known that using a single importance sampling step one produces…
In two-way contingency tables we sometimes find that frequencies along the diagonal cells are relatively larger(or smaller) compared to off-diagonal cells, particularly in square tables with the common categories for the rows and the…
It has recently been observed that the SIR distributions of a variety of cellular network models and transmission techniques look very similar in shape. As a result, they are well approximated by a simple horizontal shift (or gain) of the…
This paper is about the use of the Wallenius noncentral hypergeometric distribution for analysing contingency tables with two or more groups and two categories and with row margins and sample size, that is both margins, fixed. The…
Simulated annealing - moving from a tractable distribution to a distribution of interest via a sequence of intermediate distributions - has traditionally been used as an inexact method of handling isolated modes in Markov chain samplers.…
This paper presents a simulation-based framework for sequential inference from partially and discretely observed point process (PP's) models with static parameters. Taking on a Bayesian perspective for the static parameters, we build upon…
The problem of finding the expected value of a statistic of a locally stable point process in a bounded region is addressed. We propose an adaptive importance sampling for solving the problem. In our proposal, we restrict the importance…
We present a randomized approximation algorithm for counting contingency tables, mxn non-negative integer matrices with given row sums R=(r_1, ..., r_m) and column sums C=(c_1, ..., c_n). We define smooth margins (R,C) in terms of the…
We consider the problem of estimating parameters of stochastic differential equations (SDEs) with discrete-time observations that are either completely or partially observed. The transition density between two observations is generally…
Markov chain (MC) algorithms are ubiquitous in machine learning and statistics and many other disciplines. Typically, these algorithms can be formulated as acceptance rejection methods. In this work we present a novel estimator applicable…
This paper proposes a Sequential Monte Carlo approach for the Bayesian estimation of mixed causal and noncausal models. Unlike previous Bayesian estimation methods developed for these models, Sequential Monte Carlo offers extensive…