Dr Thomas A. Dean
Publications
T.Dean and P.Dupuis. The Design and Analysis of a Generalised RESTART/DPR Algorithm for Rare Event Simulation. Annals of Operations Research, DOI 10.1007/s10479-009-0664-7. Preprint available here.
T.Dean and P.Dupuis. Splitting for Rare Event Simulation: A Large Deviations Approach to Design and Analysis. Stochastic Processes and their Applications, Vol 119(2):562-587, 2009. Preprint available here.
Preprints
T.A.Dean and S.S.Singh. Asymptotic Behaviour of Approximate Bayesian Estimators. Technical Report CUED 2011.
T.A.Dean, S.S.Singh, A.Jasra and G.W.Peters. Parameter Estimation for Hidden Markov Models with Intractable Likelihoods. Technical Report CUED 2010.
Talks
Approximate Bayesian Computation for Hidden Markov Models. University of Bristol statistics seminar 4/2/2011, slides.
Introduction to Rare Event Simulation for Processes with Light Tailed Increments. CUED signal processing seminar 7/10/2009, slides.
A Generalised DPR Algorithm for Rare Event Simulation. RESIM conference 2008, slides.
Teaching
5R1 - Stochastic Processes, Lecture 1, Lecture 2, Lecture 3.
Contact Information
E-mail: tad36 {at} cam.ac.uk
Address: Signal Processing and Communications Laboratory, Department of Engineering, University of Cambridge, Trumpington Street, Cambridge CB2 1PZ, U.K.
Telephone: +44 1223 330247
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