Professor Arnaud Doucet

Professor of Statistics

Biographical Sketch

I obtained my PhD from the University of Paris XI (Orsay) in 1997. I previously held academic positions at Cambridge University, Melbourne University, The Institute of Statistical Mathematics in Tokyo and the University of British Columbia where I was a Canada Research Chair in Stochastic Computation.

Research Interests

  • Bayesian statistics
  • Stochastic simulations
  • Sequential Monte Carlo
  • Markov chain Monte Carlo
  • Time series

I am primarily interested in the development and study of novel Monte Carlo methods for inference in complex stochastic models.

Publications

Caron, F., Del Moral, P., Doucet, A. and Pace, M. (2011) “PARTICLE APPROXIMATION OF THE INTENSITY MEASURES OF A SPATIAL BRANCHING POINT PROCESS ARISING IN MULTITARGET TRACKING”, SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 49(4), pp. 1766–1792.
Tadic, V. and Doucet, A. (2011) “Asymptotic Bias of Stochastic Gradient Search”, 2011 50TH IEEE CONFERENCE ON DECISION AND CONTROL AND EUROPEAN CONTROL CONFERENCE (CDC-ECC), pp. 722–727.
Poyiadjis, G., Doucet, A. and Singh, S. (2011) “Particle approximations of the score and observed information matrix in state space models with application to parameter estimation”, BIOMETRIKA, 98(1), pp. 65–80.
Caron, F., Doucet, A. and Gottardo, R. (2011) “On-line changepoint detection and parameter estimation with application to genomic data”, Statistics and Computing, pp. 1–17.
Andrieu, C., Jasra, A., Doucet, A. and Del Moral, P. (2011) “On nonlinear Markov chain Monte Carlo”, BERNOULLI, 17(3), pp. 987–1014.
Lee, A., Yau, C., Giles, M., Doucet, A. and Holmes, C. (2010) “On the utility of graphics cards to perform massively parallel simulation of advanced Monte Carlo methods.”, Journal of computational and graphical statistics : a joint publication of American Statistical Association, Institute of Mathematical Statistics, Interface Foundation of North America, 19(4), pp. 769–789.
Del Moral, P., Doucet, A. and Singh, S. (2010) “A backward particle interpretation of Feynman-Kac formulae”, ESAIM Mathematical Modelling and Numerical Analysis, 44(5), pp. 947–975.
Andrieu, C., Doucet, A. and Holenstein, R. (2010) “Particle Markov Chain Monte Carlo Methods”, Journal of the Royal Statistical Society Series B (Statistical Methodology), 72(3), pp. 269–342.
Briers, M., Doucet, A. and Maskell, S. (2010) “Smoothing algorithms for state–space models”, Annals of the Institute of Statistical Mathematics, 62(1), pp. 61 – 61.
Bornn, L., Doucet, A. and Gottardo, R. (2010) “An efficient computational approach for prior sensitivity analysis and cross-validation”, CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, 38(1), pp. 47–64.

Contact Details

College affiliation: Fellow at Hertford College

Email:  doucet@stats.ox.ac.uk

Telephone: +44(0)1865 285368

Office number: 1.09

PA:  Lauren Haynes

Graduate Students

Joe Benton

Andrew Campbell

Amitis Shidani

Eugenio Clerico

Guneet Singh Dhillon

Research Groups

Computational Statistics and Machine Learning

Statistical Theory and Methodology