Markov models

Coupled Sampling Methods for Filtering

Fangyuan Yu, Ph.D. Student, Statistics

Mar 7, 15:00 - 17:00

KAUST

Monte carlo methods computational statistics Markov models

This thesis focuses on the use of multilevel Monte Carlo methods to achieve optimal error versus cost performance for statistical computations in hidden Markov models as well as for unbiased estimation under four cases: nonlinear filtering, unbiased filtering, unbiased estimation of hessian, continuous linear Gaussian filtering.