I am a DPhil student in the Department of Statistics at the University of Oxford and a student member of the Oxford-Man Institute of Quantitative Finance. My supervisors are Chris Holmes and Stephen Roberts
In 2008, I received an M.Sc. in Computer Science from the University of British Columbia. My supervisor was Arnaud Doucet. In 2006, I received a B.Sc. in Honours Computer Science from the University of British Columbia. My undergraduate thesis supervisor was Alan Mackworth. In the summer between my undergraduate and graduate programs I worked on a summer internship with Nando de Freitas.
Computational Statistics
Monte Carlo Methods, including Sequential Monte Carlo and Markov Chain Monte Carlo
Bayesian Inference
M.Sc. Thesis, UBC, 2008. Towards smooth particle filters for likelihood estimation with multivariate latent variables
A. Lee, C. Yau, M. Giles, A. Doucet and C. Holmes. On the utility of graphics cards to perform massively parallel simulation of advanced Monte Carlo methods. Submitted for publication, 2009. Related Website
02/10: SIAM PP10, Seattle.
11/09: Department of Engineering, University of Cambridge.
08/09: Greek Stochastics Meeting, Lefkada. (Best Contributed Talk Award!)