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

Bornn, L., Jacob, P., Del Moral, P. and Doucet, A. (2013) “An Adaptive Interacting Wang–Landau Algorithm for Automatic Density Exploration”, Journal of Computational and Graphical Statistics, 22(3), pp. 749–773.

Doucet, A. and Robert, C. (2013) “Introduction to Special Issue on Monte Carlo Methods in Statistics”, ACM TRANSACTIONS ON MODELING AND COMPUTER SIMULATION, 23(1).

Nannuru, S., Coates, M. and Doucet, A. (2013) “A Gaussian mixture ensemble transform filter for vector observations”, SIGNAL PROCESSING, SENSOR FUSION, AND TARGET RECOGNITION XXII, 8745.

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.

Kimura, T., Tokuda, T., Nakada, Y., Nokajima, T., Matsumoto, T. and Doucet, A. (2013) “Expectation-maximization algorithms for inference in Dirichlet processes mixture”, PATTERN ANALYSIS AND APPLICATIONS, 16(1), pp. 55–67.

Kantas, N., Singh, S. and Doucet, A. (2012) “Distributed Maximum Likelihood for Simultaneous Self-Localization and Tracking in Sensor Networks”, IEEE Transactions on Signal Processing, 60(10), pp. 5038–5047.

Johansen, A., Whiteley, N. and Doucet, A. (2012) “Exact Approximation of Rao-Blackwellised Particle Filters*”, IFAC-PapersOnLine, 45(16), pp. 488–493.

Talhouk, A., Doucet, A. and Murphy, K. (2012) “Efficient Bayesian Inference for Multivariate Probit Models With Sparse Inverse Correlation Matrices”, Journal of Computational and Graphical Statistics, 21(3), pp. 739–757.

Caron, F., Bornn, L. and Doucet, A. (2012) Sparsity-Promoting Bayesian Dynamic Linear Models.

Del Moral, P., Doucet, A. and Jasra, A. (2012) “An adaptive sequential Monte Carlo method for approximate Bayesian computation”, STATISTICS AND COMPUTING, 22(5), pp. 1009–1020.

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

Guneet Singh Dhillon

Research Groups

Computational Statistics and Machine Learning

Statistical Theory and Methodology