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2023
From risk reduction to risk elimination by conditional mean risk sharing of independent losses
Insurance: mathematics and economics, vol. 108, pp. 46-59, 2023.
By M. Denuit and C. Y. Robert@article{Denuit202346, author={Denuit, M. and Robert, C.Y.}, title={From risk reduction to risk elimination by conditional mean risk sharing of independent losses}, journal={Insurance: Mathematics and Economics}, year={2023}, volume={108}, pages={46-59}, doi={10.1016/j.insmatheco.2022.11.003}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85142428132&doi=10.1016%2fj.insmatheco.2022.11.003&partnerID=40&md5=2497d6d4b5dc8cb5586fa5f9e3208399}, publisher={Elsevier B.V.}, }
![[DOI]](https://crest.science/wp-content/plugins/papercite/img/external.png){kind=small}
2022
Stochastic derivative estimation for max-stable random fields
European journal of operational research, vol. 302, iss. 2, pp. 575-588, 2022.
By E. Koch and C. Y. Robert@article{Koch2022575, author={Koch, E. and Robert, C.Y.}, title={Stochastic derivative estimation for max-stable random fields}, journal={European Journal of Operational Research}, year={2022}, volume={302}, number={2}, pages={575-588}, doi={10.1016/j.ejor.2021.12.026}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85126151039&doi=10.1016%2fj.ejor.2021.12.026&partnerID=40&md5=cd3420a8e0e14aeaf5ac727919fd583f}, publisher={Elsevier B.V.}, }Mortality credits within large survivor funds
Astin bulletin, vol. 52, iss. 3, pp. 813-834, 2022.
By M. Denuit, P. Hieber, and C. Y. Robert@article{Denuit2022813, author={Denuit, M. and Hieber, P. and Robert, C.Y.}, title={MORTALITY CREDITS WITHIN LARGE SURVIVOR FUNDS}, journal={ASTIN Bulletin}, year={2022}, volume={52}, number={3}, pages={813-834}, doi={10.1017/asb.2022.13}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85139551564&doi=10.1017%2fasb.2022.13&partnerID=40&md5=fa8a1c63df9deb6f6504dff358add548}, publisher={Cambridge University Press}, }Risk-sharing rules and their properties, with applications to peer-to-peer insurance
Journal of risk and insurance, vol. 89, iss. 3, pp. 615-667, 2022.
By M. Denuit, J. Dhaene, and C. Y. Robert@article{Denuit2022615, author={Denuit, M. and Dhaene, J. and Robert, C.Y.}, title={Risk-sharing rules and their properties, with applications to peer-to-peer insurance}, journal={Journal of Risk and Insurance}, year={2022}, volume={89}, number={3}, pages={615-667}, doi={10.1111/jori.12385}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85131185299&doi=10.1111%2fjori.12385&partnerID=40&md5=961fbcc39db914f0a4886f6a9f71ed2f}, publisher={John Wiley and Sons Inc}, }Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses
Methodology and computing in applied probability, vol. 24, iss. 3, pp. 1953-1985, 2022.
By M. Denuit and C. Y. Robert@article{Denuit20221953, author={Denuit, M. and Robert, C.Y.}, title={Conditional Tail Expectation Decomposition and Conditional Mean Risk Sharing for Dependent and Conditionally Independent Losses}, journal={Methodology and Computing in Applied Probability}, year={2022}, volume={24}, number={3}, pages={1953-1985}, doi={10.1007/s11009-021-09888-0}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85116811799&doi=10.1007%2fs11009-021-09888-0&partnerID=40&md5=56b24d6c11c719d433ab8185591c364c}, publisher={Springer}, }Efficient conditional monte carlo simulations for the exponential integrals of gaussian random fields
Journal of applied probability, vol. 59, iss. 2, pp. 366-383, 2022.
By Q. H. Nguyen and C. Y. Robert@article{Nguyen2022366, author={Nguyen, Q.H. and Robert, C.Y.}, title={Efficient conditional Monte Carlo simulations for the exponential integrals of Gaussian random fields}, journal={Journal of Applied Probability}, year={2022}, volume={59}, number={2}, pages={366-383}, doi={10.1017/jpr.2021.57}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85124657091&doi=10.1017%2fjpr.2021.57&partnerID=40&md5=7b3dbfd0fa3d89b06a219a85512f7ffd}, publisher={Cambridge University Press}, }Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses
Methodology and computing in applied probability, vol. 24, iss. 2, pp. 693-711, 2022.
By M. Denuit and C. Y. Robert@article{Denuit2022693, author={Denuit, M. and Robert, C.Y.}, title={Polynomial Series Expansions and Moment Approximations for Conditional Mean Risk Sharing of Insurance Losses}, journal={Methodology and Computing in Applied Probability}, year={2022}, volume={24}, number={2}, pages={693-711}, doi={10.1007/s11009-021-09881-7}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85109254281&doi=10.1007%2fs11009-021-09881-7&partnerID=40&md5=5d54f9bee307f7d8c3d2c0ce68ac7193}, publisher={Springer}, }Conditional mean risk sharing in the individual model with graphical dependencies
Annals of actuarial science, vol. 16, iss. 1, pp. 183-209, 2022.
By M. Denuit and C. Y. Robert@article{Denuit2022183, author={Denuit, M. and Robert, C.Y.}, title={Conditional mean risk sharing in the individual model with graphical dependencies}, journal={Annals of Actuarial Science}, year={2022}, volume={16}, number={1}, pages={183-209}, doi={10.1017/S1748499521000166}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85108168501&doi=10.1017%2fS1748499521000166&partnerID=40&md5=3bd0e48ec1bfb07546aa18e47c9f2122}, publisher={Cambridge University Press}, }Testing for changes in the tail behavior of brown–resnick pareto processes
Stochastic processes and their applications, vol. 144, pp. 312-368, 2022.
By C. Y. Robert@article{Robert2022312, author={Robert, C.Y.}, title={Testing for changes in the tail behavior of Brown–Resnick Pareto processes}, journal={Stochastic Processes and their Applications}, year={2022}, volume={144}, pages={312-368}, doi={10.1016/j.spa.2021.11.009}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85120788632&doi=10.1016%2fj.spa.2021.11.009&partnerID=40&md5=22f3e1158cf02be360b5480331143a10}, publisher={Elsevier B.V.}, }50 shades of bayesian testing of hypotheses☆
Handbook of statistics, vol. 47, pp. 103-120, 2022.
By C. P. Robert@article{Robert2022103, author={Robert, C.P.}, title={50 shades of Bayesian testing of hypotheses☆}, journal={Handbook of Statistics}, year={2022}, volume={47}, pages={103-120}, doi={10.1016/bs.host.2022.06.003}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85134676681&doi=10.1016%2fbs.host.2022.06.003&partnerID=40&md5=b89a9a2afbf7f6a6dff0db22be8d6be2}, publisher={Elsevier B.V.}, }Collaborative insurance with stop-loss protection and team partitioning
North american actuarial journal, vol. 26, iss. 1, pp. 143-160, 2022.
By M. Denuit and C. Y. Robert@article{Denuit2022143, author={Denuit, M. and Robert, C.Y.}, title={Collaborative Insurance with Stop-Loss Protection and Team Partitioning}, journal={North American Actuarial Journal}, year={2022}, volume={26}, number={1}, pages={143-160}, doi={10.1080/10920277.2020.1855199}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85101358377&doi=10.1080%2f10920277.2020.1855199&partnerID=40&md5=93e8e7a28e9058c146fab660c5ccbd8f}, publisher={Routledge}, }
2021
Corrigendum and addendum to “from risk sharing to pure premium for a large number of heterogeneous losses” [insurance: mathematics and economics 96 (2021) 116–126](s0167668720301566)(10.1016/j.insmatheco.2020.11.006)
Insurance: mathematics and economics, vol. 101, pp. 640-644, 2021.
By M. Denuit and C. Y. Robert@article{Denuit2021640, author={Denuit, M. and Robert, C.Y.}, title={Corrigendum and addendum to “From risk sharing to pure premium for a large number of heterogeneous losses” [Insurance: Mathematics and Economics 96 (2021) 116–126](S0167668720301566)(10.1016/j.insmatheco.2020.11.006)}, journal={Insurance: Mathematics and Economics}, year={2021}, volume={101}, pages={640-644}, doi={10.1016/j.insmatheco.2021.09.002}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85115371188&doi=10.1016%2fj.insmatheco.2021.09.002&partnerID=40&md5=32ab536964ba76afedf7e6b3f05ff9a2}, publisher={Elsevier B.V.}, }Efron's asymptotic monotonicity property in the gaussian stable domain of attraction
Journal of multivariate analysis, vol. 186, 2021.
By M. Denuit and C. Y. Robert@article{Denuit2021, author={Denuit, M. and Robert, C.Y.}, title={Efron's asymptotic monotonicity property in the Gaussian stable domain of attraction}, journal={Journal of Multivariate Analysis}, year={2021}, volume={186}, doi={10.1016/j.jmva.2021.104803}, art_number={104803}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85114086981&doi=10.1016%2fj.jmva.2021.104803&partnerID=40&md5=4204d91dc859f2e480f38e8af30aee73}, publisher={Academic Press Inc.}, }Stop-loss protection for a large p2p insurance pool
Insurance: mathematics and economics, vol. 100, pp. 210-233, 2021.
By M. Denuit and C. Y. Robert@article{Denuit2021210, author={Denuit, M. and Robert, C.Y.}, title={Stop-loss protection for a large P2P insurance pool}, journal={Insurance: Mathematics and Economics}, year={2021}, volume={100}, pages={210-233}, doi={10.1016/j.insmatheco.2021.05.007}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85107650649&doi=10.1016%2fj.insmatheco.2021.05.007&partnerID=40&md5=dd27790686272d84c534c8a274c9d013}, publisher={Elsevier B.V.}, }Rao–blackwellisation in the markov chain monte carlo era
International statistical review, vol. 89, iss. 2, pp. 237-249, 2021.
By C. P. Robert and G. Roberts@article{Robert2021237, author={Robert, C.P. and Roberts, G.}, title={Rao–Blackwellisation in the Markov Chain Monte Carlo Era}, journal={International Statistical Review}, year={2021}, volume={89}, number={2}, pages={237-249}, doi={10.1111/insr.12463}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85111321223&doi=10.1111%2finsr.12463&partnerID=40&md5=98766c41835ca302f3a67018a033215c}, publisher={International Statistical Institute}, }Risk sharing under the dominant peer-to-peer property and casualty insurance business models
Risk management and insurance review, vol. 24, iss. 2, pp. 181-205, 2021.
By M. Denuit and C. Y. Robert@article{Denuit2021181, author={Denuit, M. and Robert, C.Y.}, title={Risk sharing under the dominant peer-to-peer property and casualty insurance business models}, journal={Risk Management and Insurance Review}, year={2021}, volume={24}, number={2}, pages={181-205}, doi={10.1111/rmir.12180}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85107389774&doi=10.1111%2frmir.12180&partnerID=40&md5=3b6b4cb7924b1369b4d97e755097cedd}, publisher={Blackwell Publishing Ltd}, }Hierarchical copulas with archimedean blocks and asymmetric between-block pairs
Computational statistics and data analysis, vol. 154, 2021.
By I. Chaoubi, H. Cossette, E. Marceau, and C. Y. Robert@article{Chaoubi2021, author={Chaoubi, I. and Cossette, H. and Marceau, E. and Robert, C.Y.}, title={Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs}, journal={Computational Statistics and Data Analysis}, year={2021}, volume={154}, doi={10.1016/j.csda.2020.107071}, art_number={107071}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85090551004&doi=10.1016%2fj.csda.2020.107071&partnerID=40&md5=c51eeabd67c4ee71c56ef51bc5e19a04}, publisher={Elsevier B.V.}, }From risk sharing to pure premium for a large number of heterogeneous losses
Insurance: mathematics and economics, vol. 96, pp. 116-126, 2021.
By M. Denuit and C. Y. Robert@article{Denuit2021116, author={Denuit, M. and Robert, C.Y.}, title={From risk sharing to pure premium for a large number of heterogeneous losses}, journal={Insurance: Mathematics and Economics}, year={2021}, volume={96}, pages={116-126}, doi={10.1016/j.insmatheco.2020.11.006}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85097224892&doi=10.1016%2fj.insmatheco.2020.11.006&partnerID=40&md5=7bb5adf5854867aad3e7c0cb7705e599}, publisher={Elsevier B.V.}, }
2020
Large-loss behavior of conditional mean risk sharing
Astin bulletin, vol. 50, iss. 3, pp. 1093-1122, 2020.
By M. Denuit and C. Y. Robert@article{Denuit20201093, author={Denuit, M. and Robert, C.Y.}, title={Large-loss behavior of conditional mean risk sharing}, journal={ASTIN Bulletin}, year={2020}, volume={50}, number={3}, pages={1093-1122}, doi={10.1017/asb.2020.23}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85091790468&doi=10.1017%2fasb.2020.23&partnerID=40&md5=8d056a216e6b2e5d3a60d32a6b120458}, publisher={Cambridge University Press}, }
2016
Importance sampling schemes for evidence approximation in mixture models
Bayesian analysis, vol. 11, iss. 2, pp. 573-597, 2016.
By J. E. Lee and C. P. Robert@article{Lee2016573, author={Lee, J.E. and Robert, C.P.}, title={Importance sampling schemes for evidence approximation in mixture models}, journal={Bayesian Analysis}, year={2016}, volume={11}, number={2}, pages={573-597}, doi={10.1214/15-BA970}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84963818644&doi=10.1214%2f15-BA970&partnerID=40&md5=bdb82445a6c3ec8981e5c9d5ecaae585}, publisher={International Society for Bayesian Analysis}, }The expected demise of the bayes factor
Journal of mathematical psychology, vol. 72, pp. 33-37, 2016.
By C. P. Robert@article{Robert201633, author={Robert, C.P.}, title={The expected demise of the Bayes factor}, journal={Journal of Mathematical Psychology}, year={2016}, volume={72}, pages={33-37}, doi={10.1016/j.jmp.2015.08.002}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84940776975&doi=10.1016%2fj.jmp.2015.08.002&partnerID=40&md5=394bb0dd2267dbc2bfb45c411ebe4551}, publisher={Academic Press Inc.}, }
2015
Pre-processing for approximate bayesian computation in image analysis
Statistics and computing, vol. 25, iss. 1, pp. 23-33, 2015.
By M. T. Moores, C. C. Drovandi, K. Mengersen, and C. P. Robert@article{Moores201523, author={Moores, M.T. and Drovandi, C.C. and Mengersen, K. and Robert, C.P.}, title={Pre-processing for approximate Bayesian computation in image analysis}, journal={Statistics and Computing}, year={2015}, volume={25}, number={1}, pages={23-33}, doi={10.1007/s11222-014-9525-6}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84925517418&doi=10.1007%2fs11222-014-9525-6&partnerID=40&md5=575748011e49acac9b6799e42484db7a}, publisher={Kluwer Academic Publishers}, }
2014
Credit risk valuation with rating transitions and partial information
International journal of theoretical and applied finance, vol. 17, iss. 7, 2014.
By D. Hainaut and C. Y. Robert@article{Hainaut2014, author={Hainaut, D. and Robert, C.Y.}, title={Credit risk valuation with rating transitions and partial information}, journal={International Journal of Theoretical and Applied Finance}, year={2014}, volume={17}, number={7}, doi={10.1142/S0219024914500460}, art_number={1450046}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84929519234&doi=10.1142%2fS0219024914500460&partnerID=40&md5=42a3fb997b11945fe36eae7982f6dd4f}, publisher={World Scientific}, }
2013
Bayesian computation for statistical models with intractable normalizing constants
Brazilian journal of probability and statistics, vol. 27, iss. 4, pp. 416-436, 2013.
By Y. F. Atchadé, N. Lartillot, and C. Robert@article{Atchadé2013416, author={Atchadé, Y.F. and Lartillot, N. and Robert, C.}, title={Bayesian computation for statistical models with intractable normalizing constants}, journal={Brazilian Journal of Probability and Statistics}, year={2013}, volume={27}, number={4}, pages={416-436}, doi={10.1214/11-BJPS174}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84884147564&doi=10.1214%2f11-BJPS174&partnerID=40&md5=1569de8a2ccea05bcdc05c1f482f5a07}, }Discussion
International statistical review, vol. 81, iss. 1, pp. 52-56, 2013.
By C. P. Robert@article{Robert201352, author={Robert, C.P.}, title={Discussion}, journal={International Statistical Review}, year={2013}, volume={81}, number={1}, pages={52-56}, doi={10.1111/insr.12003}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84875641170&doi=10.1111%2finsr.12003&partnerID=40&md5=5715cd3f1160f67f10a806d8e48cc08b}, }Error and inference: an outsider stand on a frequentist philosophy
Theory and decision, vol. 74, iss. 3, pp. 447-461, 2013.
By C. P. Robert@article{Robert2013447, author={Robert, C.P.}, title={Error and inference: An outsider stand on a frequentist philosophy}, journal={Theory and Decision}, year={2013}, volume={74}, number={3}, pages={447-461}, doi={10.1007/s11238-012-9298-3}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84878515324&doi=10.1007%2fs11238-012-9298-3&partnerID=40&md5=08ab07673dc56e27e877c51863b48a2d}, publisher={Kluwer Academic Publishers}, }
2012
Adaptive multiple importance sampling
Scandinavian journal of statistics, vol. 39, iss. 4, pp. 798-812, 2012.
By J. -M. Cornuet, J. -M. Marin, A. Mira, and C. P. Robert@article{Cornuet2012798, author={Cornuet, J.-M. and Marin, J.-M. and Mira, A. and Robert, C.P.}, title={Adaptive Multiple Importance Sampling}, journal={Scandinavian Journal of Statistics}, year={2012}, volume={39}, number={4}, pages={798-812}, doi={10.1111/j.1467-9469.2011.00756.x}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84865840917&doi=10.1111%2fj.1467-9469.2011.00756.x&partnerID=40&md5=62e921e8fd01200610cfe17d84cdca9c}, }Issues in designing hybrid algorithms
Case studies in bayesian statistical modelling and analysis, , pp. 403-420, 2012.
By J. E. Lee, K. L. Mengersen, and C. P. Robert@book{Lee2012403, author={Lee, J.E. and Mengersen, K.L. and Robert, C.P.}, title={Issues in Designing Hybrid Algorithms}, journal={Case Studies in Bayesian Statistical Modelling and Analysis}, year={2012}, pages={403-420}, doi={10.1002/9781118394472.ch24}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84949757833&doi=10.1002%2f9781118394472.ch24&partnerID=40&md5=09547d708c4d53dbf51f61e7f38beb04}, publisher={wiley}, }Approximate bayesian computational methods
Statistics and computing, vol. 22, iss. 6, pp. 1167-1180, 2012.
By J. -M. Marin, P. Pudlo, C. P. Robert, and R. J. Ryder@article{Marin20121167, author={Marin, J.-M. and Pudlo, P. and Robert, C.P. and Ryder, R.J.}, title={Approximate Bayesian computational methods}, journal={Statistics and Computing}, year={2012}, volume={22}, number={6}, pages={1167-1180}, doi={10.1007/s11222-011-9288-2}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84861108073&doi=10.1007%2fs11222-011-9288-2&partnerID=40&md5=d7452680ff97ed7d2f3037108fffb09d}, }Estimation of demo-genetic model probabilities with approximate bayesian computation using linear discriminant analysis on summary statistics
Molecular ecology resources, vol. 12, iss. 5, pp. 846-855, 2012.
By A. Estoup, E. Lombaert, J. -M. Marin, T. Guillemaud, P. Pudlo, C. P. Robert, and J. -M. Cornuet@article{Estoup2012846, author={Estoup, A. and Lombaert, E. and Marin, J.-M. and Guillemaud, T. and Pudlo, P. and Robert, C.P. and Cornuet, J.-M.}, title={Estimation of demo-genetic model probabilities with Approximate Bayesian Computation using linear discriminant analysis on summary statistics}, journal={Molecular Ecology Resources}, year={2012}, volume={12}, number={5}, pages={846-855}, doi={10.1111/j.1755-0998.2012.03153.x}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84865301018&doi=10.1111%2fj.1755-0998.2012.03153.x&partnerID=40&md5=15e14a1098431104fa64e2119e6dcf3e}, }Volatility and covariation estimation when microstructure noise and trading times are endogenous
Mathematical finance, vol. 22, iss. 1, pp. 133-164, 2012.
By C. Y. Robert and M. Rosenbaum@article{Robert2012133, author={Robert, C.Y. and Rosenbaum, M.}, title={Volatility and covariation estimation when microstructure noise and trading times are endogenous}, journal={Mathematical Finance}, year={2012}, volume={22}, number={1}, pages={133-164}, doi={10.1111/j.1467-9965.2010.00454.x}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84856028776&doi=10.1111%2fj.1467-9965.2010.00454.x&partnerID=40&md5=91b850cda5ff28672979ebf28064307d}, }
2011
Using parallel computation to improve independent metropolis-hastings based estimation
Journal of computational and graphical statistics, vol. 20, iss. 3, pp. 616-635, 2011.
By P. Jacob, C. P. Robert, and M. H. Smith@article{Jacob2011616, author={Jacob, P. and Robert, C.P. and Smith, M.H.}, title={Using parallel computation to improve independent Metropolis-Hastings based estimation}, journal={Journal of Computational and Graphical Statistics}, year={2011}, volume={20}, number={3}, pages={616-635}, doi={10.1198/jcgs.2011.10167}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80053364902&doi=10.1198%2fjcgs.2011.10167&partnerID=40&md5=842851dad23db14164e0b1c1ac4542d8}, }Bayesian inference and computation
Handbook of statistical systems biology, , pp. 39-65, 2011.
By C. P. Robert, J. Marin, and J. Rousseau@book{Robert201139, author={Robert, C.P. and Marin, J. and Rousseau, J.}, title={Bayesian Inference and Computation}, journal={Handbook of Statistical Systems Biology}, year={2011}, pages={39-65}, doi={10.1002/9781119970606.ch3}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84888670971&doi=10.1002%2f9781119970606.ch3&partnerID=40&md5=1eeb199f66e560d406ecb51abd0cee5d}, publisher={John Wiley and Sons}, }The model with uncertainty zones for ultra high frequency prices and durations: applications to statistical estimation and mathematical finance
New economic windows, vol. 9, pp. 203-224, 2011.
By C. Y. Robert and M. Rosenbaum@article{Robert2011203, author={Robert, C.Y. and Rosenbaum, M.}, title={The model with uncertainty zones for ultra high frequency prices and durations: Applications to statistical estimation and mathematical finance}, journal={New Economic Windows}, year={2011}, volume={9}, pages={203-224}, doi={10.1007/978-88-470-1766-5_14}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84874562946&doi=10.1007%2f978-88-470-1766-5_14&partnerID=40&md5=25e34e3aa362057c4e786b303b84ec5e}, publisher={Springer-Verlag Italia s.r.l.}, }Discussion of "is bayes posterior just quick and dirty confidence?" by d. a. s. fraser
Statistical science, vol. 26, iss. 3, pp. 317-318, 2011.
By C. P. Robert@article{Robert2011317, author={Robert, C.P.}, title={Discussion of "is bayes posterior just quick and dirty confidence?" by D. A. S. Fraser}, journal={Statistical Science}, year={2011}, volume={26}, number={3}, pages={317-318}, doi={10.1214/11-STS352B}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-82655179895&doi=10.1214%2f11-STS352B&partnerID=40&md5=7bf9b23de4f686667910aba572eeab00}, }Improving the convergence properties of the data augmentation algorithm with an application to bayesian mixture modeling
Statistical science, vol. 26, iss. 3, pp. 332-351, 2011.
By J. P. Hobert, V. Roy, and C. P. Robert@article{Hobert2011332, author={Hobert, J.P. and Roy, V. and Robert, C.P.}, title={Improving the convergence properties of the data augmentation algorithm with an application to Bayesian mixture modeling}, journal={Statistical Science}, year={2011}, volume={26}, number={3}, pages={332-351}, doi={10.1214/11-STS365}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-82655175464&doi=10.1214%2f11-STS365&partnerID=40&md5=ba34e1433c37edbbfb5e1716e12356e1}, }A new approach for the dynamics of ultra-high-frequency data: the model with uncertainty zones
Journal of financial econometrics, vol. 9, iss. 2, pp. 344-366, 2011.
By C. Y. Robert and M. Rosenbaum@article{Robert2011344, author={Robert, C.Y. and Rosenbaum, M.}, title={A new approach for the dynamics of ultra-high-frequency data: The model with uncertainty zones}, journal={Journal of Financial Econometrics}, year={2011}, volume={9}, number={2}, pages={344-366}, doi={10.1093/jjfinec/nbq023}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79954611545&doi=10.1093%2fjjfinec%2fnbq023&partnerID=40&md5=36c1a82de041cecdb715c43c2be2c614}, publisher={Oxford University Press}, }Reading keynes' treatise on probability
International statistical review, vol. 79, iss. 1, pp. 1-15, 2011.
By C. P. Robert@article{Robert20111, author={Robert, C.P.}, title={Reading Keynes' Treatise on Probability}, journal={International Statistical Review}, year={2011}, volume={79}, number={1}, pages={1-15}, doi={10.1111/j.1751-5823.2010.00129.x}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79953266961&doi=10.1111%2fj.1751-5823.2010.00129.x&partnerID=40&md5=e3e69bcc852086c40c22ec1988fd002e}, publisher={International Statistical Institute}, }
2010
On the microstructural hedging error
Siam journal on financial mathematics, vol. 1, iss. 1, pp. 427-453, 2010.
By C. Y. Robert and M. Rosenbaum@article{Robert2010427, author={Robert, C.Y. and Rosenbaum, M.}, title={On the microstructural hedging error}, journal={SIAM Journal on Financial Mathematics}, year={2010}, volume={1}, number={1}, pages={427-453}, doi={10.1137/090764578}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79954607942&doi=10.1137%2f090764578&partnerID=40&md5=a4719972bad1f02d8e61ceec43abcf73}, }On variance stabilisation in population monte carlo by double rao-blackwellisation
Computational statistics and data analysis, vol. 54, iss. 3, pp. 698-710, 2010.
By A. Iacobucci, J. -M. Marin, and C. Robert@article{Iacobucci2010698, author={Iacobucci, A. and Marin, J.-M. and Robert, C.}, title={On variance stabilisation in Population Monte Carlo by double Rao-Blackwellisation}, journal={Computational Statistics and Data Analysis}, year={2010}, volume={54}, number={3}, pages={698-710}, doi={10.1016/j.csda.2008.09.020}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-70549093610&doi=10.1016%2fj.csda.2008.09.020&partnerID=40&md5=12e965072e1880afa6cfdb47b29ca780}, publisher={Elsevier}, }Model choice versus model criticism
Proceedings of the national academy of sciences of the united states of america, vol. 107, iss. 3, p. E5, 2010.
By C. P. Robert, K. Mengersen, and C. Chen@article{Robert2010, author={Robert, C.P. and Mengersen, K. and Chen, C.}, title={Model choice versus model criticism}, journal={Proceedings of the National Academy of Sciences of the United States of America}, year={2010}, volume={107}, number={3}, pages={E5}, doi={10.1073/pnas.0911260107}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-75749126209&doi=10.1073%2fpnas.0911260107&partnerID=40&md5=abe0343b838d3ec7d7d5c43dbbf83ad4}, publisher={National Academy of Sciences}, }Testing the type of a semi-martingale: itō against multifractal
Electronic journal of statistics, vol. 4, pp. 1300-1323, 2010.
By L. Duvernet, C. Y. Robert, and M. Rosenbaum@article{Duvernet20101300, author={Duvernet, L. and Robert, C.Y. and Rosenbaum, M.}, title={Testing the type of a semi-martingale: Itō against multifractal}, journal={Electronic Journal of Statistics}, year={2010}, volume={4}, pages={1300-1323}, doi={10.1214/10-EJS585}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84856222536&doi=10.1214%2f10-EJS585&partnerID=40&md5=b4b3905e0a747f0785c953067ebbd1e3}, }On resolving the savage–dickey paradox
Electronic journal of statistics, vol. 4, pp. 643-654, 2010.
By J. -M. Marin and C. P. Robert@article{Marin2010643, author={Marin, J.-M. and Robert, C.P.}, title={On resolving the savage–dickey paradox}, journal={Electronic Journal of Statistics}, year={2010}, volume={4}, pages={643-654}, doi={10.1214/10-EJS564}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80051720276&doi=10.1214%2f10-EJS564&partnerID=40&md5=b9652f6a02adc553aaea9c5ff715aba0}, }On the limiting spectral distribution of the covariance matrices of time-lagged processes
Journal of multivariate analysis, vol. 101, iss. 10, pp. 2434-2451, 2010.
By C. Y. Robert and M. Rosenbaum@article{Robert20102434, author={Robert, C.Y. and Rosenbaum, M.}, title={On the limiting spectral distribution of the covariance matrices of time-lagged processes}, journal={Journal of Multivariate Analysis}, year={2010}, volume={101}, number={10}, pages={2434-2451}, doi={10.1016/j.jmva.2010.06.014}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77956735817&doi=10.1016%2fj.jmva.2010.06.014&partnerID=40&md5=e41ba6b5833978cf2cd471f04ef113db}, publisher={Academic Press Inc.}, }Properties of nested sampling
Biometrika, vol. 97, iss. 3, pp. 741-755, 2010.
By N. Chopin and C. P. Robert@article{Chopin2010741, author={Chopin, N. and Robert, C.P.}, title={Properties of nested sampling}, journal={Biometrika}, year={2010}, volume={97}, number={3}, pages={741-755}, doi={10.1093/biomet/asq021}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77955861158&doi=10.1093%2fbiomet%2fasq021&partnerID=40&md5=cc05fc1a85b552e1b5c326d62949bd07}, publisher={Oxford University Press}, }
2009
Harold jeffreys's theory of probability revisited
Statistical science, vol. 24, iss. 2, pp. 141-172, 2009.
By C. P. Robert, N. Chopin, and J. Rousseau@article{Robert2009141, author={Robert, C.P. and Chopin, N. and Rousseau, J.}, title={Harold Jeffreys's theory of probability revisited}, journal={Statistical Science}, year={2009}, volume={24}, number={2}, pages={141-172}, doi={10.1214/09-STS284}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77955125911&doi=10.1214%2f09-STS284&partnerID=40&md5=99b149c49998619659c3edf9995d63a2}, }Inference for the limiting cluster size distribution of extreme values
Annals of statistics, vol. 37, iss. 1, pp. 271-310, 2009.
By C. Y. Robert@article{Robert2009271, author={Robert, C.Y.}, title={Inference for the limiting cluster size distribution of extreme values}, journal={Annals of Statistics}, year={2009}, volume={37}, number={1}, pages={271-310}, doi={10.1214/07-AOS551}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-65349155122&doi=10.1214%2f07-AOS551&partnerID=40&md5=6131df554c40f724cac709b829ab562f}, publisher={Institute of Mathematical Statistic}, }Rejoinder: harold jeffreys's theory of probability revisited
Statistical science, vol. 24, iss. 2, pp. 191-194, 2009.
By C. P. Robert, N. Chopin, and J. Rousseau@article{Robert2009191, author={Robert, C.P. and Chopin, N. and Rousseau, J.}, title={Rejoinder: Harold Jeffreys's theory of probability revisited}, journal={Statistical Science}, year={2009}, volume={24}, number={2}, pages={191-194}, doi={10.1214/09-STS284REJ}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77955137079&doi=10.1214%2f09-STS284REJ&partnerID=40&md5=de5f5deb12cc0822e852fec52b5cb610}, publisher={Institute of Mathematical Statistics}, }Abc methods for model choice in gibbs random fields
Comptes rendus mathematique, vol. 347, iss. 3-4, pp. 205-210, 2009.
By A. Grelaud, C. P. Robert, and J. -M. Marin@article{Grelaud2009205, author={Grelaud, A. and Robert, C.P. and Marin, J.-M.}, title={ABC methods for model choice in Gibbs random fields}, journal={Comptes Rendus Mathematique}, year={2009}, volume={347}, number={3-4}, pages={205-210}, doi={10.1016/j.crma.2008.12.009}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-60749126542&doi=10.1016%2fj.crma.2008.12.009&partnerID=40&md5=c9ceda7b7ed6e07ccdbf756986553bb3}, publisher={Elsevier Masson SAS}, }
2008
On some diffculties with a posterior probability approximation technique
Bayesian analysis, vol. 3, iss. 2, pp. 427-442, 2008.
By C. P. Robert and J. -M. Mariny@article{Robert2008427, author={Robert, C.P. and Mariny, J.-M.}, title={On some diffculties with a posterior probability approximation technique}, journal={Bayesian Analysis}, year={2008}, volume={3}, number={2}, pages={427-442}, doi={10.1214/08-BA316}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77956281530&doi=10.1214%2f08-BA316&partnerID=40&md5=01d82736a05a32ad47bdc39b2563ccc7}, }Adaptive importance sampling in general mixture classes
Statistics and computing, vol. 18, iss. 4, pp. 447-459, 2008.
By O. Cappé, R. Douc, A. Guillin, J. -M. Marin, and C. P. Robert@article{Cappé2008447, author={Cappé, O. and Douc, R. and Guillin, A. and Marin, J.-M. and Robert, C.P.}, title={Adaptive importance sampling in general mixture classes}, journal={Statistics and Computing}, year={2008}, volume={18}, number={4}, pages={447-459}, doi={10.1007/s11222-008-9059-x}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-57849141688&doi=10.1007%2fs11222-008-9059-x&partnerID=40&md5=b60416004a8422097d27ddb6b503166e}, publisher={Springer Netherlands}, }Integral equation solutions as prior distributions for bayesian model selection
Test, vol. 17, iss. 3, pp. 493-504, 2008.
By J. A. Cano, D. Salmerón, and C. P. Robert@article{Cano2008493, author={Cano, J.A. and Salmerón, D. and Robert, C.P.}, title={Integral equation solutions as prior distributions for Bayesian model selection}, journal={Test}, year={2008}, volume={17}, number={3}, pages={493-504}, doi={10.1007/s11749-006-0040-8}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-57649143923&doi=10.1007%2fs11749-006-0040-8&partnerID=40&md5=c97ff95cd2df742828d3f67984501a91}, publisher={Springer New York}, }
2007
Bayesian mixture models in a longitudinal setting for analysing sheep cat scan images
Computational statistics and data analysis, vol. 51, iss. 9, pp. 4282-4296, 2007.
By C. L. Alston, K. L. Mengersen, C. P. Robert, J. M. Thompson, P. J. Littlefield, D. Perry, and A. J. Ball@article{Alston20074282, author={Alston, C.L. and Mengersen, K.L. and Robert, C.P. and Thompson, J.M. and Littlefield, P.J. and Perry, D. and Ball, A.J.}, title={Bayesian mixture models in a longitudinal setting for analysing sheep CAT scan images}, journal={Computational Statistics and Data Analysis}, year={2007}, volume={51}, number={9}, pages={4282-4296}, doi={10.1016/j.csda.2006.05.013}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-34147146467&doi=10.1016%2fj.csda.2006.05.013&partnerID=40&md5=0c01f4eada74ba258b9c2c26d9faf464}, publisher={Elsevier}, }Stochastic stability of some state-dependent growth-collapse processes
Advances in applied probability, vol. 39, iss. 1, pp. 189-220, 2007.
By C. Y. Robert@article{Robert2007189, author={Robert, C.Y.}, title={Stochastic stability of some state-dependent growth-collapse processes}, journal={Advances in Applied Probability}, year={2007}, volume={39}, number={1}, pages={189-220}, doi={10.1239/aap/1175266475}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-34247574626&doi=10.1239%2faap%2f1175266475&partnerID=40&md5=b7fdaab85eb7988c88221621bf48b19f}, }Minimum variance importance sampling via population monte carlo
Esaim - probability and statistics, vol. 11, pp. 427-447, 2007.
By R. Douc, A. Guillin, J. -M. Marin, and C. P. Robert@article{Douc2007427, author={Douc, R. and Guillin, A. and Marin, J.-M. and Robert, C.P.}, title={Minimum variance importance sampling via population monte carlo}, journal={ESAIM - Probability and Statistics}, year={2007}, volume={11}, pages={427-447}, doi={10.1051/ps:2007028}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84996132096&doi=10.1051%2fps%3a2007028&partnerID=40&md5=f649ad15973a373b9a6d0a59bb38da9e}, }
2006
Stochastic unit root models
Econometric theory, vol. 22, iss. 6, pp. 1052-1090, 2006.
By C. Gourieroux and C. Y. Robert@article{Gourieroux20061052, author={Gourieroux, C. and Robert, C.Y.}, title={Stochastic unit root models}, journal={Econometric Theory}, year={2006}, volume={22}, number={6}, pages={1052-1090}, doi={10.1017/S0266466606060518}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33845738227&doi=10.1017%2fS0266466606060518&partnerID=40&md5=e0e294b1918f69f61ebd96209f04e93b}, }Iterated importance sampling in missing data problems
Computational statistics and data analysis, vol. 50, iss. 12, pp. 3386-3404, 2006.
By G. Celeux, J. -M. Marin, and C. P. Robert@article{Celeux20063386, author={Celeux, G. and Marin, J.-M. and Robert, C.P.}, title={Iterated importance sampling in missing data problems}, journal={Computational Statistics and Data Analysis}, year={2006}, volume={50}, number={12}, pages={3386-3404}, doi={10.1016/j.csda.2005.07.018}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33646936073&doi=10.1016%2fj.csda.2005.07.018&partnerID=40&md5=10ead3360f0f39e7c3513230dc1399a8}, }Using a markov chain to construct a tractable approximation of an intractable probability distribution
Scandinavian journal of statistics, vol. 33, iss. 1, pp. 37-51, 2006.
By J. P. Hobert, G. L. Jones, and C. P. Robert@article{Hobert200637, author={Hobert, J.P. and Jones, G.L. and Robert, C.P.}, title={Using a Markov chain to construct a tractable approximation of an intractable probability distribution}, journal={Scandinavian Journal of Statistics}, year={2006}, volume={33}, number={1}, pages={37-51}, doi={10.1111/j.1467-9469.2006.00467.x}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33645047932&doi=10.1111%2fj.1467-9469.2006.00467.x&partnerID=40&md5=cfb60e97e52cbfa80d9e440672f2bc2d}, }
2005
Asymptotic probabilities of an exceedance over renewal thresholds with an application to risk theory
Journal of applied probability, vol. 42, iss. 1, pp. 153-162, 2005.
By C. Y. Robert@article{Robert2005153, author={Robert, C.Y.}, title={Asymptotic probabilities of an exceedance over renewal thresholds with an application to risk theory}, journal={Journal of Applied Probability}, year={2005}, volume={42}, number={1}, pages={153-162}, doi={10.1239/jap/1110381377}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-18444398351&doi=10.1239%2fjap%2f1110381377&partnerID=40&md5=70cb991ba7025906085c37004f4f99ba}, }
2004
Population monte carlo
Journal of computational and graphical statistics, vol. 13, iss. 4, pp. 907-929, 2004.
By O. Cappé, A. Guillin, J. M. Marin, and C. P. Robert@article{Cappé2004907, author={Cappé, O. and Guillin, A. and Marin, J.M. and Robert, C.P.}, title={Population Monte Carlo}, journal={Journal of Computational and Graphical Statistics}, year={2004}, volume={13}, number={4}, pages={907-929}, doi={10.1198/106186004X12803}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-4043138379&doi=10.1198%2f106186004X12803&partnerID=40&md5=264dd8ba892cdc6796addeb11d92a52e}, }Mixture models, latent variables and partitioned importance sampling
Statistical methodology, vol. 1, iss. 1-2, pp. 1-18, 2004.
By G. Casella, C. P. Robert, and M. T. Wells@article{Casella20041, author={Casella, G. and Robert, C.P. and Wells, M.T.}, title={Mixture models, latent variables and partitioned importance sampling}, journal={Statistical Methodology}, year={2004}, volume={1}, number={1-2}, pages={1-18}, doi={10.1016/j.stamet.2004.05.001}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33644771354&doi=10.1016%2fj.stamet.2004.05.001&partnerID=40&md5=707e4af266044c08aa9919a46a744876}, }Optimal sample size for multiple testing: the case of gene expression microarrays
Journal of the american statistical association, vol. 99, iss. 468, pp. 990-1001, 2004.
By P. Müller, G. Parmigiani, C. Robert, and J. Rousseau@article{Müller2004990, author={Müller, P. and Parmigiani, G. and Robert, C. and Rousseau, J.}, title={Optimal Sample Size for Multiple Testing: The Case of Gene Expression Microarrays}, journal={Journal of the American Statistical Association}, year={2004}, volume={99}, number={468}, pages={990-1001}, doi={10.1198/016214504000001646}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-10844254626&doi=10.1198%2f016214504000001646&partnerID=40&md5=e43cdbb489f9770e12ed214562f1d5a1}, }A mixture representation of π with applications in markov chain monte carlo and perfect sampling
Annals of applied probability, vol. 14, iss. 3, pp. 1295-1305, 2004.
By J. P. Hubert and C. P. Robert@article{Hubert20041295, author={Hubert, J.P. and Robert, C.P.}, title={A mixture representation of π with applications in Markov chain Monte Carlo and perfect sampling}, journal={Annals of Applied Probability}, year={2004}, volume={14}, number={3}, pages={1295-1305}, doi={10.1214/105051604000000305}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-9744242175&doi=10.1214%2f105051604000000305&partnerID=40&md5=dafbe7fbd39c4dadaf269573284a4abb}, }Discussion on the paper by wakefield
Journal of the royal statistical society. series a: statistics in society, vol. 167, iss. 3, pp. 426-445, 2004.
By N. Best, J. Wakefield, R. Chambers, C. Jackson, S. Richardson, A. C. Atkinson, D. Firth, W. Jiang, M. A. Tanner, S. E. Fienberg, C. P. Robert, A. C. Davison, C. Semadeni, J. Besag, J. K. Corder, C. Wolbrecht, D. Draper, J. J. Forster, G. King, K. Rice, T. Richardson, R. Salway, L. Sheppard, Sø. R. Thomson, and L. A. Waller@article{Best2004426, author={Best, N. and Wakefield, J. and Chambers, R. and Jackson, C. and Richardson, S. and Atkinson, A.C. and Firth, D. and Jiang, W. and Tanner, M.A. and Fienberg, S.E. and Robert, C.P. and Davison, A.C. and Semadeni, C. and Besag, J. and Corder, J.K. and Wolbrecht, C. and Draper, D. and Forster, J.J. and King, G. and Rice, K. and Richardson, T. and Salway, R. and Sheppard, L. and Thomson, Sø.R. and Waller, L.A.}, title={Discussion on the paper by Wakefield}, journal={Journal of the Royal Statistical Society. Series A: Statistics in Society}, year={2004}, volume={167}, number={3}, pages={426-445}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-3042792694&partnerID=40&md5=d3a69698e7076546fc7af947002cdeb6}, }
2003
Discussion on the paper by brooks, giudici and roberts
Journal of the royal statistical society. series b: statistical methodology, vol. 65, iss. 1, pp. 39-55, 2003.
By C. P. Robert, X. -L. Meng, J. Møller, J. S. Rosenthal, C. Jennison, M. A. Hurn, F. Al-Awadhi, P. McCullagh, C. Andrieu, A. Doucet, P. Dellaportas, I. Papageorgiou, R. S. Ehlers, E. A. Erosheva, S. E. Fienberg, J. J. Forster, R. C. Gill, N. Friel, P. Green, D. Hastie, R. King, H. R. Künsch, N. A. Lazar, and C. Osinski@article{Robert200339, author={Robert, C.P. and Meng, X.-L. and Møller, J. and Rosenthal, J.S. and Jennison, C. and Hurn, M.A. and Al-Awadhi, F. and McCullagh, P. and Andrieu, C. and Doucet, A. and Dellaportas, P. and Papageorgiou, I. and Ehlers, R.S. and Erosheva, E.A. and Fienberg, S.E. and Forster, J.J. and Gill, R.C. and Friel, N. and Green, P. and Hastie, D. and King, R. and Künsch, H.R. and Lazar, N.A. and Osinski, C.}, title={Discussion on the paper by Brooks, Giudici and Roberts}, journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology}, year={2003}, volume={65}, number={1}, pages={39-55}, doi={10.1111/1467-9868.03712}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0141464870&doi=10.1111%2f1467-9868.03712&partnerID=40&md5=893ac2cf417972e55fbd33c10096254b}, }Reversible jump, birth-and-death and more general continuous time markov chain monte carlo samplers
Journal of the royal statistical society. series b: statistical methodology, vol. 65, iss. 3, pp. 679-700, 2003.
By O. Cappé, C. P. Robert, and T. Rydén@article{Cappé2003679, author={Cappé, O. and Robert, C.P. and Rydén, T.}, title={Reversible jump, birth-and-death and more general continuous time Markov chain Monte Carlo samplers}, journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology}, year={2003}, volume={65}, number={3}, pages={679-700}, doi={10.1111/1467-9868.00409}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0043173919&doi=10.1111%2f1467-9868.00409&partnerID=40&md5=f60b621fba6963389d873d0c968e8352}, }Perfect simulation of positive gaussian distributions
Statistics and computing, vol. 13, iss. 2, pp. 179-186, 2003.
By A. Philippe and C. P. Robert@article{Philippe2003179, author={Philippe, A. and Robert, C.P.}, title={Perfect simulation of positive Gaussian distributions}, journal={Statistics and Computing}, year={2003}, volume={13}, number={2}, pages={179-186}, doi={10.1023/A:1023264710933}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0345832324&doi=10.1023%2fA%3a1023264710933&partnerID=40&md5=113fb587e0b878fc8e39d71ad45818fb}, }Estimating mixtures of regressions
Journal of computational and graphical statistics, vol. 12, iss. 1, pp. 55-79, 2003.
By M. Hurn, A. Justel, and C. P. Robert@article{Hurn200355, author={Hurn, M. and Justel, A. and Robert, C.P.}, title={Estimating mixtures of regressions}, journal={Journal of Computational and Graphical Statistics}, year={2003}, volume={12}, number={1}, pages={55-79}, doi={10.1198/1061860031329}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0037353170&doi=10.1198%2f1061860031329&partnerID=40&md5=468e415699a793cdc0420bd1542e907e}, }Discussion on the paper by kong, mccullagh, meng, nicolas and tan
Journal of the royal statistical society. series b: statistical methodology, vol. 65, iss. 3, pp. 604-618, 2003.
By M. Evans, C. P. Robert, A. C. Davison, W. Jiang, M. A. Tanner, H. Doss, J. Qin, K. Fokianos, S. N. MacEachern, M. Peruggia, S. Guha, S. Chib, Y. Ritov, J. M. Robins, and Y. Vardi@article{Evans2003604, author={Evans, M. and Robert, C.P. and Davison, A.C. and Jiang, W. and Tanner, M.A. and Doss, H. and Qin, J. and Fokianos, K. and MacEachern, S.N. and Peruggia, M. and Guha, S. and Chib, S. and Ritov, Y. and Robins, J.M. and Vardi, Y.}, title={Discussion on the paper by Kong, McCullagh, Meng, Nicolas and Tan}, journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology}, year={2003}, volume={65}, number={3}, pages={604-618}, doi={10.1111/1467-9868.00405}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0043173931&doi=10.1111%2f1467-9868.00405&partnerID=40&md5=f14eee63a0cb27f51a6392a4c96e409b}, publisher={Blackwell Publishing Ltd}, }
2002
Perfect samplers for mixtures of distributions
Journal of the royal statistical society. series b: statistical methodology, vol. 64, iss. 4, pp. 777-790, 2002.
By G. Casella, K. L. Mengersen, C. P. Robert, and D. M. Titterington@article{Casella2002777, author={Casella, G. and Mengersen, K.L. and Robert, C.P. and Titterington, D.M.}, title={Perfect samplers for mixtures of distributions}, journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology}, year={2002}, volume={64}, number={4}, pages={777-790}, doi={10.1111/1467-9868.00360}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0036436452&doi=10.1111%2f1467-9868.00360&partnerID=40&md5=39a08e38cd13845dcba1cee0a7a7852a}, }Marginal maximum a posteriori estimation using markov chain monte carlo
Statistics and computing, vol. 12, iss. 1, pp. 77-84, 2002.
By A. Doucet, S. J. Godsill, and C. P. Robert@article{Doucet200277, author={Doucet, A. and Godsill, S.J. and Robert, C.P.}, title={Marginal maximum a posteriori estimation using Markov chain Monte Carlo}, journal={Statistics and Computing}, year={2002}, volume={12}, number={1}, pages={77-84}, doi={10.1023/A:1013172322619}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0141567816&doi=10.1023%2fA%3a1013172322619&partnerID=40&md5=979b84c807e8ef9a4d1b2f6684fd0df8}, }
2001
Riemann sums for mcmc estimation and convergence monitoring
Statistics and computing, vol. 11, iss. 2, pp. 103-115, 2001.
By A. Philippe and C. P. Robert@article{Philippe2001103, author={Philippe, A. and Robert, C.P.}, title={Riemann sums for MCMC estimation and convergence monitoring}, journal={Statistics and Computing}, year={2001}, volume={11}, number={2}, pages={103-115}, doi={10.1023/A:1008926514119}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0042379653&doi=10.1023%2fA%3a1008926514119&partnerID=40&md5=fa0045ce30fff1dd1c6ca57e50ecef00}, }Markov chain monte carlo: 10 years and still running!
Statistics in the 21st century, , pp. 302-311, 2001.
By O. Cappé and C. P. Robert@book{Cappé2001302, author={Cappé, O. and Robert, C.P.}, title={Markov chain monte carlo: 10 years and still running!}, journal={Statistics in the 21st Century}, year={2001}, pages={302-311}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85057363718&partnerID=40&md5=d329880a82e61d380ec57a9bd4322062}, publisher={CRC Press}, }
2000
Markov chain monte carlo: 10 years and still running!
Journal of the american statistical association, vol. 95, iss. 452, pp. 1282-1286, 2000.
By O. Cappé and C. P. Robert@article{Cappé20001282, author={Cappé, O. and Robert, C.P.}, title={Markov Chain Monte Carlo: 10 Years and Still Running!}, journal={Journal of the American Statistical Association}, year={2000}, volume={95}, number={452}, pages={1282-1286}, doi={10.1080/01621459.2000.10474330}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0442325012&doi=10.1080%2f01621459.2000.10474330&partnerID=40&md5=4748abdd7addc689d27a924bd0bd93b5}, }Computational and inferential difficulties with mixture posterior distributions
Journal of the american statistical association, vol. 95, iss. 451, pp. 957-970, 2000.
By G. Celeux, M. Hurn, and C. P. Robert@article{Celeux2000957, author={Celeux, G. and Hurn, M. and Robert, C.P.}, title={Computational and inferential difficulties with mixture posterior distributions}, journal={Journal of the American Statistical Association}, year={2000}, volume={95}, number={451}, pages={957-970}, doi={10.1080/01621459.2000.10474285}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-2242491935&doi=10.1080%2f01621459.2000.10474285&partnerID=40&md5=cf43b9aa892e463fc303114307ec6f34}, }
1999
Eaton's markov chain, its conjugate partner and script p sign-admissibility
Annals of statistics, vol. 27, iss. 1, pp. 361-373, 1999.
By J. P. Hobert and C. P. Robert@article{Hobert1999361, author={Hobert, J.P. and Robert, C.P.}, title={Eaton's Markov chain, its conjugate partner and script P sign-admissibility}, journal={Annals of Statistics}, year={1999}, volume={27}, number={1}, pages={361-373}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0033074821&partnerID=40&md5=5b138ca76f815f7d857b950467e568ef}, }Reparameterisation issues in mixture modelling and their bearing on mcmc algorithms
Computational statistics and data analysis, vol. 29, iss. 3, pp. 325-343, 1999.
By C. P. Robert and K. L. Mengersen@article{Robert1999325, author={Robert, C.P. and Mengersen, K.L.}, title={Reparameterisation issues in mixture modelling and their bearing on MCMC algorithms}, journal={Computational Statistics and Data Analysis}, year={1999}, volume={29}, number={3}, pages={325-343}, doi={10.1016/S0167-9473(98)00058-9}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0033611397&doi=10.1016%2fS0167-9473%2898%2900058-9&partnerID=40&md5=e28c67dbba9805a317e2cd8313daea85}, }Mcmc control spreadsheets for exponential mixture estimation?
Journal of computational and graphical statistics, vol. 8, iss. 2, pp. 298-317, 1999.
By M. -A. Gruet, A. Philppe, and C. P. Robert@article{Gruet1999298, author={Gruet, M.-A. and Philppe, A. and Robert, C.P.}, title={Mcmc control spreadsheets for exponential mixture estimation?}, journal={Journal of Computational and Graphical Statistics}, year={1999}, volume={8}, number={2}, pages={298-317}, doi={10.1080/10618600.1999.10474815}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0033441527&doi=10.1080%2f10618600.1999.10474815&partnerID=40&md5=b44ee1266d3c1bc18de2a73e53164ea5}, }Convergence controls for mcmc algorithms, with applications to hidden markov chains
Journal of statistical computation and simulation, vol. 64, iss. 4, pp. 327-355, 1999.
By C. P. Robert, T. RydÉn, and D. M. Titterington@article{Robert1999327, author={Robert, C.P. and RydÉn, T. and Titterington, D.M.}, title={Convergence controls for MCMC algorithms, with applications to hidden Markov chains}, journal={Journal of Statistical Computation and Simulation}, year={1999}, volume={64}, number={4}, pages={327-355}, doi={10.1080/00949659908811984}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0033236612&doi=10.1080%2f00949659908811984&partnerID=40&md5=9d48bf59b2e1b4203caa5a1061804af0}, publisher={Taylor and Francis Inc.}, }Bayesian estimation of switching arma models
Journal of econometrics, vol. 93, iss. 2, pp. 229-255, 1999.
By M. Billio, A. Monfort, and C. P. Robert@article{Billio1999229, author={Billio, M. and Monfort, A. and Robert, C.P.}, title={Bayesian estimation of switching ARMA models}, journal={Journal of Econometrics}, year={1999}, volume={93}, number={2}, pages={229-255}, doi={10.1016/S0304-4076(99)00010-X}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0001958038&doi=10.1016%2fS0304-4076%2899%2900010-X&partnerID=40&md5=a165d6c95e81d778f58f986177ef2d58}, publisher={Elsevier BV}, }
1998
A pathological mcmc algorithm and its use as a benchmark for convergence assessment techniques
Computational statistics, vol. 13, iss. 2, pp. 169-184, 1998.
By C. P. Robert@article{Robert1998169, author={Robert, C.P.}, title={A pathological MCMC algorithm and its use as a benchmark for convergence assessment techniques}, journal={Computational Statistics}, year={1998}, volume={13}, number={2}, pages={169-184}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032388507&partnerID=40&md5=6daade981423f8edb64e95155085a850}, }Discretization of continuous markov chains and markov chain monte carlo convergence assessment
Journal of the american statistical association, vol. 93, iss. 443, pp. 1055-1067, 1998.
By C. Guihenneuc-jouyaux and C. P. Robert@article{Guihenneuc-jouyaux19981055, author={Guihenneuc-jouyaux, C. and Robert, C.P.}, title={Discretization of continuous markov chains and markov chain monte carlo convergence assessment}, journal={Journal of the American Statistical Association}, year={1998}, volume={93}, number={443}, pages={1055-1067}, doi={10.1080/01621459.1998.10473767}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85012534904&doi=10.1080%2f01621459.1998.10473767&partnerID=40&md5=18086511b2452ef238e347a759855f89}, }Estimation of quadratic functions: noninformative priors for non-centrality parameters
Statistica sinica, vol. 8, iss. 2, pp. 359-375, 1998.
By J. O. Berger, A. Philippe, and C. P. Robert@article{Berger1998359, author={Berger, J.O. and Philippe, A. and Robert, C.P.}, title={Estimation of quadratic functions: Noninformative priors for non-centrality parameters}, journal={Statistica Sinica}, year={1998}, volume={8}, number={2}, pages={359-375}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032364488&partnerID=40&md5=12c5a88243573b9073fa7fd36f20b489}, }Reparameterization strategies for hidden markov models and bayesian approaches to maximum likelihood estimation
Statistics and computing, vol. 8, iss. 2, pp. 145-158, 1998.
By C. P. Robert and D. M. Titterington@article{Robert1998145, author={Robert, C.P. and Titterington, D.M.}, title={Reparameterization strategies for hidden Markov models and Bayesian approaches to maximum likelihood estimation}, journal={Statistics and Computing}, year={1998}, volume={8}, number={2}, pages={145-158}, doi={10.1023/A:1008938201645}, url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0041724127&doi=10.1023%2fA%3a1008938201645&partnerID=40&md5=8ac43aff4cadaebccf10a5f28c6d4274}, publisher={Springer Netherlands}, }