Omiros

CV		Contact
Since 2012 I am an ICREA Research Professor based at the Department of Economics and Business, Universitat Pompeu Fabra in Barcelona.		Mail: Department of Economics and Business Universitat Pompeu Fabra Ramon Trias Fargas 25-27 Barcelona 08005, Spain
From 2008 to 2012 I held Assistant and Full Professor positions and a "Ramon y Cajal" fellowship in this Department.		Office: 20.2E08, Building Jaume I
From 2006 to 2008 I was Assistant Professor in CRiSM at the Department of Statistics, Warwick University, UK.		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: Tue May 21 08:44:28 CEST 2013

The following is a rough categorisation of my main research interests, with some indicative publications (pass with mouse over themes). Full list of publications can be found here .

Inference for partially observed stochastic processes

Monte Carlo methods in Statistics

High and infinite dimensional Bayesian Analysis

Theoretical analysis of algorithms

Stochastic Simulation

[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 ]

PhD students

Giorgos Sermaidis (Warwick, 2006-2010)
Miguel Belmonte (Warwick, 2006-2010)
Aggelos Alexopoulos (Athens, jointly with P. Dellaportas, 2012-)
Fiori Labrinakou (Athens, jointly with P. Dellaportas, 2012-)

I currently advise the following PhD students on aspects of their research: Anders Jensen (Copenhagen, on inference for stochastic dynamical systems), Kasia Wolny (Warwick, on simulation of diffusions and their local times), Ilse Lindenlaub (EUI, on multivariate matching problems)

Postdocs

Yiannis Dendramis (Athens, jointly with P. Dellaportas, 2012-)

The following are some recent and forthcoming events that I co-organise

PhD Course on MCMC in Statistics, Copenhagen, September 2013
Workshop: Computational methods for jump processes, Warwick July 2014 (details soon)
Greek Stochastics
Barcelona Biomedical Conference on Bayesian Biostatistics

MCMC for Dirichlet processes:

The retrospective MCMC algorithm used the simulation study in Section 4 of Papaspiliopoulos and Roberts (2008) can be found in FORTRAN code (using NAG) here

The algorithms used in Yau et al. (2011) (including the Block Gibbs sampler for Dirichlet processes) can be found in MATLAB code here
SMC² algorithm we proposed in Chopin, Jacob and Papaspiliopoulos (2012) has been put into a Python package (together with its many SMC components) by Pierre Jacob, which can be downloaded from here
Nonparametric inference for diffusions:

The data and the finite element implementation described in Section 6 of Papaspiliopoulos, Pokern, Roberts and Stuart (2012), and in more detail in the article's Supplement, can be found in MATLAB code here

[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, to appear, 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. Jacob, and O. Papaspiliopoulos. Smc²: an efficient algorithm for sequential analysis of state-space models. J. R. Stat. Soc. Ser. B Stat. Methodol., to appear, 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. submitted, 2013. [ bib \| http \| Abstract ]

Omiros Papaspiliopoulos