Dr Alexandros Beskos
|Themes||Computational Statistics, Stochastic Modelling and Time Series|
2013-Today: Senior Lecturer in Statistics at UCL 2008-2013: Lecturer in Statistics at UCL
2005-2008: Post-Doc in Mathematics Institute and Department of Statistics, at University of Warwick
2002-2005: Did my PhD under the supervision of Professor Gareth Roberts.
Monte-Carlo Methods, MCMC algorithms, Investigation of Monte-Carlo methods in high dimensions, Sequential Monte-Carlo algorithms,
Hamiltonian dynamics for MCMC, MCMC algorithms on Hilbert spaces,
Inference and Simulation methods for Stochastic Differential Equations,
Simulation of Diffusion paths under restrictions.
- Optimal scalings for local Metropolis-Hastings chains on non-product targets in high dimensions, with Gareth Roberts, Andrew Stuart. Annals of Applied Probability, 19, 3(2009), 863-898.
- Monte-Carlo maximum likelihood estimation for discretely observed diffusion processes, with Omiros Papaspiliopoulos, Gareth Roberts. Annals of Statistics, 37, 1(2009), 223-245.