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

Doucet, A. and Vo, B.-N. (2009) “TRACKING OF MULTIPLE MERGING AND SPLITTING TARGETS: A STATISTICAL PERSPECTIVE COMMENTARY”, STATISTICA SINICA, 19(1), pp. 39–41.
Jasra, A. and Doucet, A. (2008) “Stability of sequential Monte Carlo samplers via the Foster–Lyapunov condition”, Statistics & Probability Letters, 78(17), pp. 3062–3069.
Jasra, A. and Doucet, A. (2008) “Stability of sequential Monte Carlo samplers via the Foster-Lyapunov condition”, Statistics and Probability Letters, 78(17), pp. 3062–3069.
Johansen, A. and Doucet, A. (2008) “A note on auxiliary particle filters”, Statistics & Probability Letters, 78(12), pp. 1498–1504.
Andrieu, C., Jasra, A., Doucet, A. and Del Moral, P. (2008) “A Note on Convergence of the Equi-Energy Sampler”, Stochastic Analysis and Applications, 26(2), pp. 298–312.
Johansen, A., Doucet, A. and Davy, M. (2008) “Particle methods for maximum likelihood estimation in latent variable models”, Statistics and Computing, 18(1), pp. 47–57.
Martinez-Cantin, R., De Freitas, N., Doucet, A. and Castellanos, J. (2008) “Active policy learning for robot planning and exploration under uncertainty”, in Robotics: Science and Systems, pp. 321–328.
Caron, F. and Doucet, A. (2008) “Sparse Bayesian nonparametric regression”, Proceedings of the 25th International Conference on Machine Learning, pp. 88–95.
Hoffman, M., Doucet, A., De Freitas, N. and Jasra, A. (2008) “Trans-dimensional MCMC for Bayesian policy learning”, in Advances in Neural Information Processing Systems 20 - Proceedings of the 2007 Conference.
Caron, F., Davy, M., Doucet, A., Duflos, E. and Vanheeghe, P. (2008) “Bayesian Inference for Linear Dynamic Models with Dirichlet Process Mixtures”, IEEE Transactions on Signal Processing, 56(1), pp. 71–84.

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