Related papers: New approach to Dynamical Monte Carlo Methods: app…
Discrete-state, continuous-time Markov models are becoming commonplace in the modelling of biochemical processes. The mathematical formulations that such models lead to are opaque, and, due to their complexity, are often considered…
This article introduces a novel dynamic framework to Bayesian model averaging for time-varying parameter quantile regressions. By employing sequential Markov chain Monte Carlo, we combine empirical estimates derived from dynamically chosen…
Numerical Generalized Randomized Hamiltonian Monte Carlo is introduced, as a robust, easy to use and computationally fast alternative to conventional Markov chain Monte Carlo methods for continuous target distributions. A wide class of…
MCMC methods (Monte Carlo Markov Chain) are a class of methods used to perform simulations per a probability distribution $P$. These methods are often used when we have difficulties to directly sample per a given probability distribution…
Since its first description fifty years ago, the Metropolis Monte Carlo method has been used in a variety of different ways for the simulation of continuum quantum many-body systems. This paper will consider some of the generalizations of…
Stochastic Differential Equations (SDEs) are used as statistical models in many disciplines. However, intractable likelihood functions for SDEs make inference challenging, and we need to resort to simulation-based techniques to estimate and…
Modern macroeconometrics often relies on time series models for which it is time-consuming to evaluate the likelihood function. We demonstrate how Bayesian computations for such models can be drastically accelerated by reweighting and…
We propose a highly efficient and accurate methodology for generating synthetic financial market data using a diffusion model approach. The synthetic data produced by our methodology align closely with observed market data in several key…
We consider generalizations of the classical inverse problem to Bayesien type estimators, where the result is not one optimal parameter but an optimal probability distribution in parameter space. The practical computational tool to compute…
We propose sequential Monte Carlo (SMC) methods for sampling the posterior distribution of state-space models under highly informative observation regimes, a situation in which standard SMC methods can perform poorly. A special case is…
Monte Carlo experiments produce samples in order to estimate features of a given distribution. However, simultaneous estimation of means and quantiles has received little attention, despite being common practice. In this setting we…
Stochastic epidemic models describe the dynamics of an epidemic as a disease spreads through a population. Typically, only a fraction of cases are observed at a set of discrete times. The absence of complete information about the time…
Monte Carlo methods represent the "de facto" standard for approximating complicated integrals involving multidimensional target distributions. In order to generate random realizations from the target distribution, Monte Carlo techniques use…
The paper describes and compares three approaches to modeling an epidemic spread. The first approach is a well-known system of SIR ordinary differential equations. The second is a mean-field model, in which an isolation strategy for each…
Motivated by weak convergence results in the paper of Takahashi and Yoshida (2005), we show strong convergence for an accelerated Euler-Maruyama scheme applied to perturbed stochastic differential equations. The Milstein scheme with the…
In terms of the stochastic process of quantum-mechanical version of Markov chain Monte Carlo method (the MCMC), we analytically derive macroscopically deterministic flow equations of order parameters such as spontaneous magnetization in…
In this paper, we model dependence between operational risks by allowing risk profiles to evolve stochastically in time and to be dependent. This allows for a flexible correlation structure where the dependence between frequencies of…
Obtaining accurate forecasts for the evolution of epidemic outbreaks from deterministic compartmental models represents a major theoretical challenge. Recently, it has been shown that these models typically exhibit trajectories' degeneracy,…
Wave-function Monte Carlo methods are an important tool for simulating quantum systems, but the standard method cannot be used to simulate decoherence in continuously measured systems. Here we present a new Monte Carlo method for such…
Reflected diffusions in polyhedral domains are commonly used as approximate models for stochastic processing networks in heavy traffic. Stationary distributions of such models give useful information on the steady state performance of the…