Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo

Jere Koskela, Dario Spanò, Paul A. Jenkins. Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo. Statistics and Computing, 28(1):131-144, 2018. [doi]

Authors

Jere Koskela

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Dario Spanò

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Paul A. Jenkins

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