A A A

Dr Yvo Pokern

Position Lecturer
Phone (external) 02076791855
Phone (internal) 41855
Email(*) y.pokern
Themes General Theory and Methodology

*@ucl.ac.uk

Biographical Details

Yvo joined UCL as a lecturer in January 2010. Previously, he completed his MPhys at Warwick, followed by a Diplome d'Etudes Approfondies (DEA) at Paris XI with dissertation at the Max Planck Institute for Mathematics in the Sciences. His PhD was in Mathematics at the University of Warwick after which he switched department to take up a fellowship as EPSRC Mobility Fellow hosted by the Statistics Department.  

Research Interests

Nonparametric Estimation for Diffusions, Hypoelliptic Diffusions, Gaussian Markov Random Fields and functional data.

Yvo Pokern  

Selected Publications

  • Posterior Consistency via Precision Operators for Bayesian Nonparametric Drift Estimation in SDEs. Pokern, Y., van Zanten, J. H., Stuart, A. M. (2012) Stochastic Processes and Their Applications 10.1016/j.spa.2012.08.010.
  • Iterative numerical methods for sampling from high dimensional Gaussian distributions.  Aune, E., Eidsvik, J.,  Pokern, Y. (2012) Statistics & Computing 10.1007/s11222-012-9326-8.
  • Nonparametric estimation of diffusions: a differential equations approach.  Papaspiliopoulos, O., Pokern, Y. , Roberts G. O., Stuart, A. M. (2012) Biometrika 99(3): 511-531. Code & Data, 10.1093/biomet/ass034
  • Parameter estimation for multiscale diffusions: an overview. Pavliotis, G., Pokern, Y., Stuart, A. M. In: Statistical Methods for Stochastic Differential Equations.  Kessler, M., Lindner, A.,  Sorensen, M. (2012, Eds.), Chapman & Hall/CRC, 429--471.
  • Remarks on Drift Estimation for Diffusion Processes. Pokern, Y., Stuart, A. M., Vanden-Eijnden, E. (2009) Multiscale Modeling & Simulation 8(1): 69--95.
  • Parameter Estimation for Partially Observed Hypo-Elliptic Diffusions. Pokern, Y., Stuart, A. M., Wiberg, P. (2009) Journal of the Royal Statistical Society B 71: 49--73.

Page last modified on 27 jan 13 18:48