CV | Contact | News | |
---|---|---|---|
Since 2012 I am an ICREA Research Professor based at the Department of Economics and Business, Universitat Pompeu Fabra in Barcelona. I am the Scientific Director of the Master in Data Science at Barcelona Graduate School of Economics. |
Mail: Department of Economics and Business Universitat Pompeu Fabra Ramon Trias Fargas 25-27 Barcelona 08005, Spain |
First Barcelona Data Science Meeting | |
From 2008 to 2012 I held Assistant and Full Professor
positions and a "Ramon y Cajal" fellowship at UPF. From 2006 to 2008 I was Assistant Professor in CRiSM at the Department of Statistics, Warwick University, UK. |
Office: 20.2E08, Building Jaume I Email: name DOT surname AT upf DOT edu Phone: +34 93542 1174 Fax: +34 93542 1746 |
A full academic CV can be found here. My Google Scholar profile is here. |
Created by Omiros, using bibtex2html
Last modified: Sun Feb 1 21:36:29 CET 2015
The following is a rough categorisation of my main research interests, with some indicative publications (pass with mouse over themes). Full list of publications, with links to PDF files , can be found here . My doctoral thesis can be found here
[1] Exact sampling of diffusions with a discontinuity in the drift (with G.O.Roberts and K. Taylor) - appeared in Advances in Applied Probability |
[2] Importance Sampling: Computational Complexity and Intrinsic Dimension (with S. Agapiou, D. Sanz-Alonso, A.M. Stuart) - to appear in Statistical Science |
[3] Bayesian block-diagonal variable selection and model averaging (with D. Rossell) - to appear in Biometrika |
[4] Conjugacy properties of time-evolving Dirichlet and gamma random measures (with M. Ruggiero and D. Spanò) - appeared in Electronic Journal of Statistics |
[5] Auxiliary gradient-based sampling algorithms (with M. Titsias) |
[6] A note on MCMC for nested multilevel regression models via belief propagation (with G. Zanella) |
[1] | Gareth O. Roberts, Omiros Papaspiliopoulos, and Petros Dellaportas. Bayesian inference for non-Gaussian Ornstein-Uhlenbeck stochastic volatility processes. J. R. Stat. Soc. Ser. B Stat. Methodol., 66(2):369-393, 2004. [ bib | http | Abstract ] |
[2] | Alexandros Beskos, Omiros Papaspiliopoulos, Gareth O. Roberts, and Paul Fearnhead. Exact and computationally efficient likelihood-based estimation for discretely observed diffusion processes. J. R. Stat. Soc. Ser. B Stat. Methodol., 68(3):333-382, 2006. With discussions and a reply by the authors. [ bib | http | Abstract ] |
[3] | Alexandros Beskos, Omiros Papaspiliopoulos, and Gareth Roberts. Monte Carlo maximum likelihood estimation for discretely observed diffusion processes. Ann. Statist., 37(1):223-245, 2009. [ bib | http | Abstract ] |
[4] | O. Papaspiliopoulos, G. Roberts, and O. Stramer. Data augmentation for diffusions. Journal of Computational and Graphical Statistics, 22:3, 665-688, 2013. [ bib | .pdf | Abstract ] |
[1] | Omiros Papaspiliopoulos, Gareth O. Roberts, and Martin Sköld. A general framework for the parametrization of hierarchical models. Statist. Sci., 22(1):59-73, 2007. [ bib | http | Abstract ] |
[2] | Omiros Papaspiliopoulos and Gareth O. Roberts. Retrospective Markov chain Monte Carlo methods for Dirichlet process hierarchical models. Biometrika, 95(1):169-186, 2008. [ bib | http | Abstract ] |
[3] | N. Chopin, P.E. Jacob, and O. Papaspiliopoulos. SMC2: An efficient algorithm for sequential analysis of state space models. Journal of the Royal Statistical Society. Series B: Statistical Methodology, 75(3):397-426, 2013. [ bib | http | Abstract ] |
[1] | C. Yau, O. Papaspiliopoulos, G. O. Roberts, and C. Holmes. Bayesian non-parametric hidden Markov models with applications in genomics. J. R. Stat. Soc. Ser. B Stat. Methodol., 73(1):37-57, 2011. [ bib | http | Abstract ] |
[2] | O. Papaspiliopoulos, Y. Pokern, G.O. Roberts, and A.M. Stuart. Nonparametric estimation of diffusions: A differential equations approach. Biometrika, 99(3):511-531, 2012. [ bib | http | Abstract ] |
[1] | Omiros Papaspiliopoulos and Gareth Roberts. Stability of the Gibbs sampler for Bayesian hierarchical models. Ann. Statist., 36(1):95-117, 2008. [ bib | http | Abstract ] |
[2] | Omiros Papaspiliopoulos and Matteo Ruggiero. Optimal filtering and the dual process. Bernoulli, 20:4, 1999-2019, 2014. [ bib | http | Abstract ] |
[3] | Sergios Agapiou, Johnathan Bardsley, Omiros Papaspiliopoulos, and Andrew M. Stuart. Analysis of the Gibbs sampler for hierarchical inverse problems. Journal on Uncertainty Quantification (SIAM/ASA) 2-1, 511-544 [ bib | http | Abstract ] |
[1] | Alexandros Beskos, Omiros Papaspiliopoulos, and Gareth O. Roberts. Retrospective exact simulation of diffusion sample paths with applications. Bernoulli, 12(6):1077-1098, 2006. [ bib | http | Abstract ] |
[2] | Alexandros Beskos, Omiros Papaspiliopoulos, and Gareth O. Roberts. A factorisation of diffusion measure and finite sample path constructions. Methodol. Comput. Appl. Probab., 10(1):85-104, 2008. [ bib | http | Abstract ] |
[3] | Krzysztof Latuszyński, Ioannis Kosmidis, Omiros Papaspiliopoulos, and Gareth O. Roberts. Simulating events of unknown probabilities via reverse time martingales. Random Structures Algorithms, 38(4):441-452, 2011. [ bib | http | Abstract ] |
I currently participate as collaborator in the following research projects
Associate Editor for
Guest Editor for
PhD students
Over the years I've had the pleasure to collaborate with various other PhD students on research that forms part of their dissertation. Such students include: Alex Beskos (Lancaster, simulation of SDEs) Chris Yau (Oxford, Bayesian nonparametric hidden Markov models), Pierre Jacob (ENSAE, sequential inference in state-space models), Anders Jensen (Copenhagen, inference for stochastic dynamical systems), Kasia Wolny (Warwick, simulation of SDEs), Ilse Lindenlaub (EUI-UPF, multivariate matching problems), Sergios Agapiou (Warwick, Bayesian inverse problems), Daniel Sanz-Alonso (Warwick, particle filters in high dimensions)
RA's
The following are some forthcoming events that I am involved with:
The following are some recent events that I was involved with:
My alter ego (the one who now thinks new theorems)