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Pr. Randal DOUC

Professeur
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Article dans une revue

2024

ref_biblio
Charly Andral, Randal Douc, Hugo Marival, Christian Robert. The importance Markov Chain. Stochastic Processes and their Applications, 2024, ⟨10.1016/j.spa.2024.104316⟩. ⟨hal-03912132⟩
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https://hal.science/hal-03912132/file/arxiv3_main.pdf BibTex

2023

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Kam√©lia Daudel, Randal Douc, Fran√ßois Roueff. Monotonic Alpha-divergence Minimisation for Variational Inference. Journal of Machine Learning Research, 2023, 24 (62), pp.1-76. ⟨hal-03164338v2⟩
Accès au texte intégral et bibtex
https://telecom-paris.hal.science/hal-03164338/file/ddr_jmlr_final.pdf BibTex

2022

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M Gerber, Randal Douc. A global stochastic optimization particle filter algorithm. Biometrika, 2022, 109 (4), pp.937-955. ⟨10.1093/biomet/asab067⟩. ⟨hal-04081690⟩
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https://arxiv.org/pdf/2007.04803 BibTex

2021

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Kam√©lia Daudel, Randal Douc, Fran√ßois Portier. Infinite-dimensional gradient-based descent for alpha-divergence minimisation. Annals of Statistics, 2021, 49 (4), pp.2250 - 2270. ⟨hal-02614605v3⟩
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https://telecom-paris.hal.science/hal-02614605/file/AOS2035.pdf BibTex
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Randal Douc, Fran√ßois Roueff, Tepmony Sim. Necessary and sufficient conditions for the identifiability of observation-driven models. Journal of Time Series Analysis, 2021, 42 (2), pp.140-160. ⟨10.1111/jtsa.12559⟩. ⟨hal-02088860v3⟩
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https://hal.science/hal-02088860/file/ident_genod.pdf BibTex
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Tepmony Sim, Randal Douc, Fran√ßois Roueff. General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator. Electronic Journal of Statistics , 2021, ⟨10.1214/21-EJS1858⟩. ⟨hal-01383554v3⟩
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https://hal.science/hal-01383554/file/genod2.pdf BibTex

2020

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Randal Douc, Jimmy Olsson, Fran√ßois Roueff. Posterior consistency for partially observed Markov models. Stochastic Processes and their Applications, 2020, 130 (2), pp.733-759. ⟨10.1016/j.spa.2019.03.012⟩. ⟨hal-04081621⟩
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https://arxiv.org/pdf/1608.06851 BibTex

2019

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Randal Douc, Jimmy Olsson. Numerically stable online estimation of variance in particle filters. Bernoulli, 2019, 25 (2), pp.1504 - 1535. ⟨hal-01875162⟩
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2017

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Randal Douc, Konstantinos Fokianos, √Čric Moulines. Asymptotic properties of quasi-maximum likelihood estimators in observation-driven time series models. Electronic Journal of Statistics , 2017, 11 (2), pp.2707 - 2740. ⟨10.1214/17-EJS1299⟩. ⟨hal-01575698⟩
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2016

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Randal Douc, Fran√ßois Roueff, Tepmony Sim. The maximizing set of the asymptotic normalized log-likelihood for partially observed Markov chains. The Annals of Applied Probability, 2016, 26 (4), pp.2357 - 2383. ⟨10.1214/15-AAP1149⟩. ⟨hal-01080955v2⟩
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https://hal.science/hal-01080955/file/doumonrou.pdf BibTex

2015

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Randal Douc, Fran√ßois Roueff, Tepmony Sim. Handy sufficient conditions for the convergence of the maximum likelihood estimator in observation-driven models. Lithuanian Mathematical Journal, 2015, 55 (3), pp.367-392. ⟨10.1007/s10986-015-9286-8⟩. ⟨hal-01078073v2⟩
Accès au texte intégral et bibtex
https://hal.science/hal-01078073/file/odconsistency_Hal.pdf BibTex
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Randal Douc, Florian Maire, Jimmy Olsson. On the use of Markov chain Monte Carlo methods for the sampling of mixture models : a statistical perspective. Statistics and Computing, 2015, 25 (1), pp.95 - 110. ⟨10.1007/s11222-014-9526-5⟩. ⟨hal-01262405⟩
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Fredrik Lindsten, Randal Douc, √Čric Moulines. Uniform ergodicity of the Particle Gibbs sampler. Scandinavian Journal of Statistics, 2015, 42 (3), pp.775 - 797. ⟨10.1111/sjos.12136⟩. ⟨hal-01257066⟩
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2014

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Myl√®ne B√©dard, Randal Douc, √Čric Moulines. Scaling analysis of delayed rejection MCMC methods. Methodology and Computing in Applied Probability, 2014, 16 (4), pp.811 - 838. ⟨10.1007/s11009-013-9326-y⟩. ⟨hal-01285497⟩
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Randal Douc, √Čric Moulines, Jimmy Olsson. Long-term stability of sequential Monte Carlo methods under verifiable conditions. The Annals of Applied Probability, 2014, 24 (5), pp.1767 - 1802. ⟨10.1214/13-AAP962⟩. ⟨hal-01262408⟩
Accès au bibtex
https://arxiv.org/pdf/1203.6898 BibTex
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Florian Maire, Randal Douc, Jimmy Olsson. Comparison of asymptotic variances of inhomogeneous Markov chains with application to Markov chain Monte Carlo methods. Annals of Statistics, 2014, 42 (4), pp.1483 - 1510. ⟨10.1214/14-AOS1209⟩. ⟨hal-01262407⟩
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https://arxiv.org/pdf/1307.3719 BibTex

2013

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Randal Douc, Paul Doukhan, √Čric Moulines. Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator. Stochastic Processes and their Applications, 2013, 123 (7), pp.2620-2647. ⟨10.1016/j.spa.2013.04.010⟩. ⟨hal-00833432⟩
Accès au bibtex
https://arxiv.org/pdf/1210.4739 BibTex
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Cyrille Dubarry, Randal Douc. Calibrating the exponential Ornstein-Uhlenbeck multiscale stochastic volatility model. Quantitative Finance, 2013, pp.1-14. ⟨10.1080/14697688.2012.738929⟩. ⟨hal-00832848⟩
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2012

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Randal Douc, Myl√®ne B√©dard, √Čric Moulines. Scaling analysis of multiple-try MCMC methods. Stochastic Processes and their Applications, 2012, 122 (3), pp.758-786. ⟨10.1016/j.spa.2011.11.004⟩. ⟨hal-00772096⟩
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Randal Douc, √Čric Moulines, Jimmy Olsson. On the long-term stability of bootstrap-type particle filters. IFAC Proceedings Volumes, 2012, 45 (16), pp.1131-1136. ⟨10.3182/20120711-3-BE-2027.00380⟩. ⟨hal-04081636⟩
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Randal Douc, √Čric Moulines. Asymptotic properties of the maximum likelihood estimation in misspecified hidden Markov models. Annals of Statistics, 2012, 40 (5), pp.2697-2732. ⟨10.1214/12-AOS1047⟩. ⟨hal-00832818⟩
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https://arxiv.org/pdf/1110.0356 BibTex

2011

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Randal Douc, √Čric Moulines, Jimmy Olsson, Ramon van Handel. Consistency of the maximum likelihood estimator for general hidden Markov models. Annals of Statistics, 2011, 39 (1), pp.474-513. ⟨10.1214/10-AOS834⟩. ⟨hal-00633451⟩
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https://arxiv.org/pdf/0912.4480 BibTex
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Randal Douc, Christian Robert. A vanilla Rao‚ÄďBlackwellization of Metropolis‚ÄďHastings algorithms. Annals of Statistics, 2011, 39 (1), pp.261-277. ⟨10.1214/10-AOS838⟩. ⟨hal-00375377⟩
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https://hal.science/hal-00375377/file/dr09.pdf BibTex
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Randal Douc, Aur√©lien Garivier, √Čric Moulines, Jimmy Olsson. Sequential Monte Carlo smoothing for general state space hidden Markov models. The Annals of Applied Probability, 2011, 21 (6), pp.2109-2145. ⟨10.1214/10-AAP735⟩. ⟨hal-00839311⟩
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https://arxiv.org/pdf/1202.2945 BibTex

2010

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Randal Douc, Elisabeth Gassiat-Granier, Benoit Landelle, √Čric Moulines. Forgetting of the initial distribution for nonergodic Hidden Markov Chains. The Annals of Applied Probability, 2010, 20 (5), pp.1638 - 1662. ⟨hal-01354770⟩
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2009

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Randal Douc, Eric Moulines, Yaacov Ritov. Forgetting of the initial condition for the filter in general state-space hidden Markov chain: a coupling approach. Electronic Journal of Probability, 2009, 14 (none), ⟨10.1214/EJP.v14-593⟩. ⟨hal-04081648⟩
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Randal Douc, Gersende Fort, √Čric Moulines, Pierre Priouret. Forgetting of the initial distribution for Hidden Markov Models. Stochastic Processes and their Applications, 2009, 119 (4), pp.1235--1256. ⟨hal-00138902⟩
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https://hal.science/hal-00138902/file/DoucFortMoulinesPriouret.pdf BibTex
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Randal Douc, Gersende Fort, Arnaud Guillin. Subgeometric rates of convergence of f-ergodic strong Markov processes. Stochastic Processes and their Applications, 2009, 119 (3), pp.897-923. ⟨10.1016/j.spa.2008.03.007⟩. ⟨hal-00077681⟩
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https://hal.science/hal-00077681/file/dfg.pdf BibTex
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Randal Douc, Gersende Fort, Arnaud Guillin. Subgeometric rates of convergence of f-ergodic strong Markov processes. Stochastic Processes and their Applications, 2009, 119 (3), pp.897 - 923. ⟨10.1016/j.spa.2008.03.007⟩. ⟨hal-01314855⟩
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Randal Douc, √Čric Moulines, Jimmy Olsson. Optimality of the auxiliary particle filter. Probability and Mathematical Statistics, 2009, 29 (1), pp.1-28. ⟨hal-00471534⟩
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https://hal.science/hal-00471534/file/29.1.1.pdf BibTex

2008

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Olivier Capp√©, Randal Douc, Arnaud Guillin, Jean-Michel Marin, Christian P. Robert. Adaptive Importance Sampling in General Mixture Classes. Statistics and Computing, 2008, 18 (4), pp.447-459. ⟨10.1007/s11222-008-9059-x⟩. ⟨hal-00180669v4⟩
Accès au texte intégral et bibtex
https://hal.science/hal-00180669/file/CDGMR07.pdf BibTex
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Randal Douc, Arnaud Guillin, √Čric Moulines. Bounds on regeneration times and limit theorems for subgeometric Markov chains. Annales de l'Institut Henri Poincar√© (B) Probabilit√©s et Statistiques, 2008, 44 (2), pp.239 - 257. ⟨10.1214/07-AIHP109⟩. ⟨hal-01372463⟩
Accès au bibtex
https://arxiv.org/pdf/math/0601036 BibTex
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Randal Douc, A. Guillin, Jean-Michel Marin, C. P. Robert. Convergence of adaptive mixtures of importance sampling schemes. Statistics and Computing, 2008, 18,, pp.447-459. ⟨hal-00432955⟩
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https://arxiv.org/pdf/0708.0711 BibTex
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Randal Douc, Fran√ßois Roueff, Philippe Soulier. On the existence of some ARCH($\infty$) processes. Stochastic Processes and their Applications, 2008, 118 (5), pp.755-761. ⟨10.1016/j.spa.2007.06.002⟩. ⟨hal-00113157v3⟩
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https://hal.science/hal-00113157/file/archrev.pdf BibTex
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Randal Douc, √Čric Moulines. Limit theorems for weighted samples with applications to sequential Monte Carlo methods. Annals of Statistics, 2008, 36 (5), pp.2344 - 2376. ⟨10.1214/07-AOS514⟩. ⟨hal-01372025⟩
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Jimmy Olsson, Olivier Capp√©, Randal Douc, Eric Moulines. Sequential Monte Carlo smoothing with application to parameter estimation in non-linear state space models. Bernoulli, 2008, 14 (1), pp.155-179. ⟨10.3150/07-BEJ6150⟩. ⟨hal-00096080v2⟩
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https://hal.science/hal-00096080/file/bej6150.pdf BibTex

2007

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Randal Douc, √Čric Moulines, Philippe Soulier. Computable Convergence Rates for Subgeometrically Ergodic Markov Chains. Bernoulli, 2007, 13 (3), ⟨10.3150/07-BEJ5162⟩. ⟨hal-00013769⟩
Accès au texte intégral et bibtex
https://hal.science/hal-00013769/file/DoucMoulinesSoulier.pdf BibTex

2005

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Randal Douc, A. Guillin, J. Najim. Moderate deviations for particle filtering. The Annals of Applied Probability, 2005, 15 (1B), pp.587-614. ⟨10.1214/105051604000000657⟩. ⟨hal-04081665⟩
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https://arxiv.org/pdf/math/0401058 BibTex

2004

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Randal Douc, Gersende Fort, √Čric Moulines, Philippe Soulier. Practical drift conditions for subgeometric rates of convergence. The Annals of Applied Probability, 2004, 14 (3), pp.1353-1377. ⟨10.1214/105051604000000323⟩. ⟨hal-00147616⟩
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https://arxiv.org/pdf/math/0407122 BibTex
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Randal Douc, E. Moulines, Jeffrey Rosenthal. Quantitative bounds on convergence of time-inhomogeneous Markov chains. The Annals of Applied Probability, 2004, 14 (4), ⟨10.1214/105051604000000620⟩. ⟨hal-04081669⟩
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Randal Douc, √Čric Moulines, Tobias Ryd√©n. Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime. Annals of Statistics, 2004, 32 (5), ⟨10.1214/009053604000000021⟩. ⟨hal-04081670⟩
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2002

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Olivier Cappe, Randal Douc, Eric Moulines, Christian Robert. On the Convergence of the Monte Carlo Maximum Likelihood Method for Latent Variable Models. Scandinavian Journal of Statistics, 2002, 29 (4), pp.615-635. ⟨10.1111/1467-9469.00309⟩. ⟨hal-04081673⟩
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2001

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Randal Douc, Catherine Matias. Asymptotics of the Maximum Likelihood Estimator for General Hidden Markov Models. Bernoulli, 2001, 7 (3), pp.381. ⟨10.2307/3318493⟩. ⟨hal-04081675⟩
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2000

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Randal Douc, Catherine Matias. Propri√©t√©s asymptotiques de l'estimateur de maximum de vraisemblance pour des mod√®les de Markov cach√©s g√©n√©raux. Comptes Rendus de l'Acad√©mie des Sciences - Series I - Mathematics, 2000, 330 (2), pp.135-138. ⟨10.1016/s0764-4442(00)00138-5⟩. ⟨hal-04081679⟩
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Communication dans un congrès

2021

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Kam√©lia Daudel, Randal Douc. Mixture weights optimisation for alpha-divergence variational inference. Advances in Neural Information Processing (NeurIPS), Dec 2021, Online, France. pp.4397--4408, ⟨10.48550/arXiv.2106.05114⟩. ⟨hal-04083262⟩
Accès au texte intégral et bibtex
https://hal.science/hal-04083262/file/NeurIPS-2021-mixture-weights-optimisation-for-alpha-divergence-variational-inference-Paper.pdf BibTex

2012

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Florian Maire, Randal Douc, Sidonie Lefebvre, √Čric Moulines. An online learning algorithm for mixture models of deformable templates. MLSP '12 : IEEE International Workshop on Machine Learning for Signal Processing, Sep 2012, Santander, Spain. pp.1-6, ⟨10.1109/MLSP.2012.6349725⟩. ⟨hal-00839430⟩
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2011

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Cyrille Dubarry, Randal Douc. Improving particle approximations of the joint smoothing distribution with linear computational cost. SSP 2011 : Statistical Signal Processing Workshop, Jun 2011, Nice, France. pp.209 - 212, ⟨10.1109/SSP.2011.5967661⟩. ⟨hal-01303713⟩
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Florian Maire, Sidonie Lefebvre, √Čric Moulines, Randal Douc. Aircraft classification with a low resolution infrared sensor. SSP 2011 : Statistical Signal Processing Workshop, Jun 2011, Nice, France. pp.761 - 764, ⟨10.1109/SSP.2011.5967815⟩. ⟨hal-01303722⟩
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2009

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Randal Douc, Aur√©lien Garivier, √Čric Moulines, Jimmy Olsson. Approximation particulaire par FFBS de la loi de lissage pour des HMM dans des espaces d'√©tats g√©n√©raux. 41√®mes Journ√©es de Statistique, SFdS, Bordeaux, 2009, Bordeaux, France, France. ⟨inria-00386750⟩
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https://inria.hal.science/inria-00386750/file/p180.pdf BibTex

2005

ref_biblio
Randal Douc, Olivier Capp√©, Eric Moulines. Comparison of Resampling Schemes for Particle Filtering. 2005, pp.64-69. ⟨hal-00005883⟩
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https://hal.science/hal-00005883/file/dcm-ispa2005.pdf BibTex

Chapitre d'ouvrage

2022

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Randal Douc, √Čric Moulines, David Stoffer. 6 - AN INTRODUCTION TO STATE SPACE MODELS. Statistics for astrophysics, EDP Sciences, pp.215-258, 2022, ⟨10.1051/978-2-7598-2741-1.c011⟩. ⟨hal-03921403⟩
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2006

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Randal Douc, Eric Moulines, Philippe Soulier. Subgeometric ergodicity of Markov chains. Patrice Bertail, Paul Doukhan, Philippe Soulier. Dependence in probability and statistics, Springer, pp.55--64, 2006, Lecture notes in statistics. ⟨hal-00154180⟩
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https://hal.science/hal-00154180/file/douc_moulines_soulier.pdf BibTex

Ouvrages

2018

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Randal Douc, Eric Moulines, Pierre Priouret, Philippe Soulier. Markov chains. Springer, pp.757, 2018, Operation research and financial engineering, Operation research and financial engineering, 978-3-319-97703-4. ⟨10.1007/978-3-319-97704-1⟩. ⟨hal-02022651⟩
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2014

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Randal Douc, √Čric Moulines, David Stoffer. Nonlinear time series : theory, methods and applications with R examples. Chapman et Hall - CRC Press, 2014, Texts in statistical science, Texts in statistical science, 978-1-466-50225-3. ⟨hal-01263245⟩
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Proceedings/Recueil des communications

2007

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Jimmy Olsson, Eric Moulines, Randal Douc. Improving the Performance of the Two-Stage Sampling Particle Filter: A Statistical Perspective. IEEE, pp.284-288, 2007, ⟨10.1109/SSP.2007.4301264⟩. ⟨hal-04081654⟩
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Rapport

2008

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Olivier Capp√©, Randal Douc, Arnaud Guillin, Jean-Michel Marin, Christian P. Robert. Adaptive Importance Sampling in General Mixture Classes. [Research Report] RR-6332, INRIA. 2008. ⟨inria-00181474v4⟩
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https://inria.hal.science/inria-00181474/file/RR-6332.pdf BibTex

Pré-publication, Document de travail

2024

ref_biblio
Randal Douc, Alain Durmus, Aur√©lien Enfroy, Jimmy Olsson. Boost your favorite Markov Chain Monte Carlo sampler using Kac's theorem: the Kick-Kac teleportation algorithm. 2024. ⟨hal-04396793⟩
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https://arxiv.org/pdf/2201.05002 BibTex

2023

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Randal Douc, Sylvain Le Corff. Asymptotic convergence of iterative optimization algorithms. 2023. ⟨hal-04000741⟩
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https://hal.science/hal-04000741/file/cdlc.pdf BibTex

2019

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Kam√©lia Daudel, Randal Douc, Fran√ßois Portier, Fran√ßois Roueff. The $f$-divergence expectation iteration scheme. 2019. ⟨hal-02298857⟩
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https://hal.science/hal-02298857/file/ddpr2019.pdf BibTex

2009

ref_biblio
Randal Douc, Eric Moulines, Jimmy Olsson, Ramon van Handel. Consistency of the Maximum Likelihood Estimator for general hidden Markov models. 2009. ⟨hal-00442774⟩
Accès au texte intégral et bibtex
https://imt.hal.science/hal-00442774/file/dmrvh.pdf BibTex
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Randal Douc, Aur√©lien Garivier, √Čric Moulines, Jimmy Olsson. On the Forward Filtering Backward Smoothing particle approximations of the smoothing distribution in general state spaces models. 2009. ⟨hal-00370685⟩
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https://hal.science/hal-00370685/file/dgarm.pdf BibTex

2007

ref_biblio
Randal Douc, Eric Moulines, Jimmy Olsson. On the auxiliary particle filter. 2007. ⟨hal-00174161⟩
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https://hal.science/hal-00174161/file/APF.pdf BibTex
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Randal Douc, Eric Moulines, Ya'Acov Ritov. Forgetting of the initial condition for the filter in general state-space hidden Markov chain: a coupling approach. 2007. ⟨hal-00193309⟩
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https://hal.science/hal-00193309/file/hmmGSS1.pdf BibTex

2006

ref_biblio
Randal Douc, Arnaud Guillin, √Čric Moulines. Bounds on Regeneration Times and Limit Theorems for Subgeometric Markov Chains. 2006. ⟨hal-00016396⟩
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https://hal.science/hal-00016396/file/DoucGuillinMoulines.pdf BibTex

2005

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Randal Douc. Non singularity of the asymptotic Fisher information matrix in hidden Markov models. 2005. ⟨hal-00014504⟩
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https://hal.science/hal-00014504/file/douc.pdf BibTex