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

Bérard, J., Del Moral, P. and Doucet, A. (2014) “A lognormal central limit theorem for particle approximations of normalizing constants”, Electronic Journal of Probability, 19(none).
Pitt, M., Malik, S. and Doucet, A. (2014) “Simulated likelihood inference for stochastic volatility models using continuous particle filtering”, in Annals of the Institute of Statistical Mathematics, pp. 527–552.
Cuturi, M. and Doucet, A. (2014) “Fast Computation of Wasserstein Barycenters”, in INTERNATIONAL CONFERENCE ON MACHINE LEARNING, VOL 32 (CYCLE 2), pp. 685–693.
Paige, B., Wood, F., Doucet, A. and Teh, Y. (2014) “Asynchronous anytime sequential Monte Carlo”, in Advances in Neural Information Processing Systems, pp. 3410–3418.
Yoshida, R., Ueno, G. and Doucet, A. (2014) “Preface”, Annals of the Institute of Statistical Mathematics, 66(3), pp. 441–442.
Nevat, I., Peters, G., Doucet, A. and Yuan, J. (2014) “Joint Channel and Doppler Offset Estimation in Dynamic Cooperative Relay Networks”, IEEE TRANSACTIONS ON WIRELESS COMMUNICATIONS, 13(12), pp. 6570–6579.
Pitt, M., Malik, S. and Doucet, A. (2014) “Simulated likelihood inference for stochastic volatility models using continuous particle filtering”, ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 66(3), pp. 527–552.
Yoshida, R., Ueno, G. and Doucet, A. (2014) “SPECIAL ISSUE: BAYESIAN INFERENCE AND STOCHASTIC COMPUTATION Preface”, ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 66(3), pp. 441–442.
Peters, G., Briers, M., Shevchenko, P. and Doucet, A. (2013) “Calibration and Filtering for Multi Factor Commodity Models with Seasonality: Incorporating Panel Data from Futures Contracts”, Methodology and Computing in Applied Probability, 15(4), pp. 841–874.
Yildirim, S., Singh, S. and Doucet, A. (2013) “An Online Expectation–Maximization Algorithm for Changepoint Models”, Journal of Computational and Graphical Statistics, 22(4), pp. 906–926.

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