Ajay Jasra
Associate Professor (tenure
track), National University of Singapore.
THIS
PAGE IS NO LONGER UPDATED (as of 21/04/12). PLEASE GOTO MY NUS WEBPAGE: http://www.stat.nus.edu.sg/~staja/.
Brief History
I am associate professor (tenure track) at the
National University of Singapore. I was lecturer in statistics at Imperial
College London. Before that I was lecturer at the Institute of Statistical Mathematics and prior
Chapman fellow of Mathematics at Imperial College London. Previous to that
position I was a research associate in the STELLA group at Cambridge
University (with Arnaud Doucet) and
research associate at the Department of Statistics, Oxford University (with Chris Holmes). My Ph.D. was at
the Mathematics department, Imperial College, with Chris Holmes and Dave Stephens.
Degrees, Positions & Editorial Work
Since
01/2012-: Associate Professor (Tenure Track), Statistics, National University of Singapore, SG.
09/2008-12/2011: Lecturer, Mathematics,
Imperial College London.
03/2008-09/2008: Lecturer, Institute of
Statistical Mathematics, JP.
10/2006-03/2008: Chapman Fellow of Mathematics,
Imperial College London.
02/2006-10/2006: Research Associate, Department
of Engineering,
10/2005-02/2006: Research Associate, Department
of Statistics,
10/2005: Ph.D. degree, Imperial College
London. Thesis: `Bayesian Inference for Mixture
Models via Monte Carlo Computation’. Examiners:
Christian Robert and Nick Heard.
I have
also been a short-term academic visitor (Jul-Sept, 2007) at the
I am
currently associate editor at Statistics
and Computing (2011-) and American Journal of
Algorithms and Computing
(2012-).
Research Interests
Bayesian
Statistics.
Markov chain theory.
Computational finance.
Publications: Journals
(2012) Del
Moral, P., Doucet, A. and Jasra, A. An
Adaptive Sequential Monte Carlo Method for Approximate Bayesian Computation. Code. Statistics and Computing (to
appear).
(2012)
Jasra, A., Singh, S, Martin, J and McCoy E. Filtering
via ABC, Statistics and Computing (to appear).
(2012) Whiteley, N., Kantas, N. and Jasra, A. Linear
variance bounds for particle approximations of time homogeneous Feynman-Kac formulae. Stochastic Processes and
their Applications.
(2012)
Del Moral, P., Doucet, A. and Jasra, A. On Adaptive Resampling Procedures
for SMC Methods, Bernoulli.
(2011) Jasra, A, De Iorio, M. and Chadeau-Hyam M The Time Machine. Proc.
(2011) Andrieu, C, Jasra, A, Doucet, A and Del Moral, P, On
Non-Linear Markov chain Monte Carlo, Bernoulli.
(2011)
Jasra, A. and Holmes CC. Stochastic
Boosting Algorithms, Statistics and Computing.
(2011) Jasra, A. and Del Moral, P. SMC
for option pricing, Stochastic
Analysis and Applications.
(2011) Jasra, A. Stephens, DA, Doucet, A, and Tsagaris, T., Inference
for Levy driven SV Models, Scand. J. Statist.
(2009)
Jasra, A. and Doucet, A. SMC
Methods for Diffusions, Proc.
(2009)
Holmes, CC and Jasra, A. Antithetic
Methods for Gibbs Samplers, J. Comp. Graph Stat.
(2009) Pei, T., Jasra, A., Hand D. J.,
Zhu, A. and Zhou, C. DECODE:
a new method for discovering clusters of different densities in spatial data,
Data Mining and Knowledge Discovery.
(2008) Jasra, A, and Doucet, A, Stability
of Sequential Monte Carlo Samplers. Statistics and Probability
Letters.
(2008) Andrieu, C, Jasra, A, Doucet, A and Del Moral, P, A
note on the convergence of the Equi-Energy Sampler,
Stochastic Analysis and Applications.
(2008) Jasra, A, Doucet, A, Stephens, DA and Holmes, CC, Interacting
SMC Samplers, Comput. Stat. and Data Analy.
(2008)
Jasra, A, and Yang, C, A
regeneration proof of the CLT for uniformly ergodic
Markov chains, Statistics and Probability Letters.
(2007) Jasra, A, Stephens, DA, and Holmes, CC Population-based
reversible Jump MCMC, Biometrika.
(2007)
Jasra, A, Stephens DA and Holmes, CC, On population-based simulation for static inference、Statistics
and Computing.
(2006)
Jasra, A, Stephens, DA, Gallagher, KL and Holmes, CC, Bayesian Mixture
Modelling in Geochronology via Markov chain Monte Carlo, Mathematical
Geology.
(2006) Del Moral, P, Doucet, A and Jasra, A, Sequential
Monte Carlo Samplers, Journal of the Royal Statistical Society Series B.
A related note is available here.
(2005)
Jasra A, Holmes CC, and Stephens DA, MCMC
methods and the label switching problem in Bayesian mixture modelling,
Statistical Science.
Publications: Conference/ In Books/ Discussions
(2012) Barthelme’ S., Chopin, N., Jasra A. and Singh, S. Comments on the paper of Fearnhead & Prangle.
(Thanks
to Christian Robert for producing the linked document!), JRSSB (to appear).
(2012) Jasra, A. Comments on the
paper of Fearnhead & Prangle. JRSSB (to
appear).
(2011) Jasra, A. & Singh, S. Comments on
the paper of Girolami & Calderhead,
JRSSB.
(2007) Hoffman, M., Doucet, A. De Freitas, N.
and Jasra, A. Bayesian Policy Learning with Trans-Dimensional MCMC, NIPS.
(2007)
Andrieu, C, Jasra, A, Doucet, A and Del Moral, P, Convergence of the Equi-Energy Sampler,
ESIAM
Proc.
(2007)
Andrieu, C, Jasra, A, Doucet, A and Del Moral, P, Non-Linear Markov chain
ESIAM
Proc.
(2006)
Gallagher, KL, Jasra, A, Stephens, DA and Holmes, CC, A new approach to mixture
modelling for geochronology,
16th Annual V M Goldschmidt Conference.
(2006) Doucet, A, Montesano, L and Jasra, A, Optimal filtering for
partially observed point processes, ICASSP.
(2006) Del Moral, P, Doucet, A and Jasra, A, Sequential Monte Carlo for
Bayesian Computation, Bayesian Statistics 8.
Technical Reports
These
are all submitted (or about to be) preprints.
(2012) Ehrlich, E., Jasra, A., Kantas, N. and Singh, S. S. Online static
parameter estimation for ABC approximations of HMMs. To be submitted.
(2012) Cozzini, A., Jasra, A. and Montana G. A Bayesian
Mixture of Lasso Regressions with t-Errors. To be submitted.
(2012) Persing A. and Jasra A. A note on the
estimate of the normalizing constant of Feynman-Kac
formula ****. This paper is only available by request.
(2011)
Beskos, A., Crisan D., Jasra, A. and Whiteley, N. Error bounds and
normalizing constants for sequential Monte Carlo in high dimensions.
(2011) Cozzini, A., Jasra, A. and Montana, G. Robust model-based clustering with gene ranking.
(2011)
Beskos, A., Crisan, D. and Jasra, A. On the
stability of sequential Monte Carlo methods in high dimensions.
(2011)
Jasra, A. and Kantas N. Bayesian
parameter inference for partially observed stopped processes.
(2011) Martin, J., Jasra, A. and McCoy, E. Inference for a class of partially
observed point process.
(2010) Tsagaris, T, Jasra, A and
(2010) Dean, T., Singh, S., Jasra, A. and Peters, G. Parameter
Estimation for Hidden Markov Models with Intractable Likelihoods.
Collaborators
Christophe Andrieu (
Simon Barthelme’
(Berlin University of Technology)
Alex Beskos (University
College London, Statistics).
Marc Chadeau
(Imperial College London, School of Public Health).
Nicolas Chopin (CREST-ENSAE).
Dan Crisan (Imperial College
London, Mathematics).
Tom Dean (DPFM)
Pierre Del Moral (Universite’ Bordeaux, Mathematics).
Maria De Iorio
(University College London, Statistics).
Arnaud
Doucet (University of Oxford, Statistics).
Chris
Holmes (
Nikolas Kantas (Imperial College
London, Engineering).
Gareth Peters (UNSW, Maths
and Statistics)
Sumeet
Singh (University of Cambridge, Engineering).
Dave
Stephens (
Theo Tsagaris
(Tudor Captial).
Nick
Whiteley (University of Bristol, Statistics).
In addition, I also co-supervise/co-supervised PhD
students with:
L. Bottolo (Imperial College London, Statistics)
E. McCoy
(Imperial College London, Statistics)
G.
Montana (Imperial College London, Statistics)
D. Nott
(NUS, Statistics)
C.
Yau (Imperial College London, Statistics)
Talks
McGill University
April 2011
Research Students and Post-Docs
Post-Docs:
Pierre Jacob current PhD
student of Christian Robert
will join NUS from October 2012.
Research
Students:
J. Wang
(NUS, 2012-Present). Joint with D. Nott.
A.
Persing (IC, 2011-Present). Joint with A. Doucet, D. Crisan
and L. Bottolo.
X. Zhang
(IC, 2011-Present). Joint with C. Yau.
E.
Ehrlich (IC, 2011-Present). Joint with N. Kantas.
J.
Martin (IC, 2008-Present). Joint with E. McCoy.
Thesis: Some New Results in Sequential Monte Carlo, to be submitted. Will be post-doc at UNSW from summer 2012. Examiners: A.
Beskos & A. Young.
A.
Cozzini (IC, 2010-2012) PhD. Joint with G. Montana. Thesis: Supervised and
unsupervised model based clustering with variable selection. Examiners: C. C.
Holmes & E. McCoy.
C. Oduneye (IC, 2010-2011) PhD. Joint with D. Stephens.
Thesis:
Credit Modelling: Generating Spread
Dynamics with Intensities and Creating Dependence with Copulas. Head of EM
Credit Trading at an Investment bank in London. Examiners: A. Mijatovic, P. Dellaportas &
N. Adams.
M. Bottone (IC, 2009-2010) MPhil. Joint with
D. Stephens.
Thesis:
Stochastic Models for Financial Information Flows.
Examiners:
J. Griffin & E. McCoy.
I. Shiekh (IC, 2008-2010) PhD. Joint with E. McCoy.
Thesis:
Modelling Power Prices. Energy analyst in London.
Examiners:
P. Dellaportas & A. Young.
Teaching
LTCC
Sequential
Monte Carlo Methods.
NUS
From January
2012 I will be teaching ST5223 Statistical Models: Theory and Applications. The
notes are available here. The
non-assessed problem sheets are here:
Solutions:
Generalized Linear Models. This
features the solution of the normal-normal result discussed on 9/4/12.
Assessment:
The
first sheet is here
and was due in on Monday February 27th, by 1700. Solutions.
The
second sheet is here
and was due in on Monday March 26th, by 1700. This is the associated
data. A sample report.
Imperial College London
I taught
M3S4\M4S4 Applied probability. The notes are available here.
I taught
M3S9\M4S9 Stochastic Simulation. The notes are available here.
Contact Details
Office
97C, Level 5, Block S16
Department
of Statistics and Applied Probability
National
University of Singapore
6
Science Drive 2,
Singapore,
117546
e-mail: staja@nus.edu.sg
phone:
(+65) 66011410