Degrees, Positions, Editorial Work & Events
Since 12/2011-: Associate Professor (Tenure Track), DSAP, National University of Singapore, SG.
03/2008-09/2008: Lecturer, Institute of Statistical Mathematics, JP.
10/2006-03/2008: Chapman Fellow of Mathematics, Mathematics, Imperial College London.
Research Associate, Engineering,
Research Associate, Statistics,
10/2002-10/2005: Ph.D., Imperial College London.
I am also an affiliated member of the risk management institute at NUS. I am an associate
member of the stochastic analysis group at Imperial College London.
Short-term academic visitor at:
University of Bristol (Statistics) and
University College London (Statistics) (May-July, 2012).
Institute of Statistical Mathematics (Jul-Sept, 2007).
I am currently associate editor at:
Statistics and Computing (2011-)
The 2013-2014 NUS statistics seminar schedule is here. I am seminar chair, please contact me if you want to speak at DSAP.
In Feb 2014 the fourth Singapore conference on statistical science will be held at NUS. I am co-organizer (chair A/P Lim).
In April 2014 there is a one month programme on Monte Carlo methods in Cambridge. I am co-organizer (chair Dr S. Singh).
My Research is funded by the following grants:
AcRF Tier 2 Grant: `Approximate Computational Methods for High-Dimensional Systems’ (Co-PI with Nott).
EPSRC Grant: `Advanced Stochastic Computation for Stochastic Trees’ (Visiting Researcher with De Iorio,
Beskos and Balding). 2013-2016, £401382.
MOE Grant: `Approximate and High-Dimensional Filtering’. 2012-2015, S$174200.
Markov chain theory.
For more information on my research, please see my Google Scholar profile.
Publications: Journals (35)
(2014) Zhang, X., Nott, D., Yau, C. & Jasra, A. A sequential algorithm for fast fitting of mixtures. JCGS (to appear). arXiv.
(2014) Jasra, A., Kantas, N. & Ehrlich E. Approximate inference for observation driven time series. TOMACS (to appear). arXiv.
(2014) Ehrlich, E., Jasra, A., & Kantas, N. Gradient free parameter estimation for intractable HMMs. Meth. Comp. Appl. Probab. (to appear). arXiv.
(2014) Martin, J., Jasra, A., Singh, S., Whiteley, N., Del Moral, P. & McCoy, E. ABC Smoothing. Stoch. Anal. Appl. 32, 397-422. arXiv.
(2014) Jasra, A., Kantas N. & Persing, A. Bayesian inference for partially observed stopped processes Stat. Comp. 24, 1-20. arXiv.
(2013) Martin, J., Jasra, A. & McCoy, E. Inference for a class of partially observed point process. Ann. Inst. Statist. Math. 65, 413-437. arXiv.
(2012) Tsagaris, T, Jasra, A & Adams, N. Robust and Adaptive algorithms for online portfolio selection. Quant. Finance. 12, 1651-1662. arXiv.
(2012) Del Moral, P., Doucet, A. & Jasra, A. An Adaptive SMC Method for Approximate Bayesian Computation. Stat. Comp. 22, 1009-1020.
(2012) Whiteley, N., Kantas, N. & Jasra, A. Linear variance for particle approximations of Feynman-Kac formulae. Stoch. Proc. Appl. 122, 1840-1865.
(2012) Del Moral, P., Doucet, A. & Jasra, A. On Adaptive Resampling Procedures for SMC Methods, Bernoulli. 18, 252-272.
(2011) Andrieu, C, Jasra, A, Doucet, A & Del Moral, P, On Non-Linear Markov chain Monte Carlo, Bernoulli. 17, 987-1014.
(2011) Jasra, A. & Holmes CC. Stochastic Boosting Algorithms, Stat. Comp. 21, 335-347.
(2011) Jasra, A. & Del Moral, P. SMC for option pricing, Stoch. Anal. Appl. 29, 292-316.
(2011) Jasra, A. Stephens, DA, Doucet, A, & Tsagaris, T., Inference for Levy driven SV Models, Scand. J. Statist. 38, 1-22.
(2009) Jasra, A. & Doucet, A. SMC
Methods for Diffusions, Proc.
(2009) Holmes, CC & Jasra, A. Antithetic Methods for Gibbs Samplers, JCGS. 18, 401-414.
(2009) Pei, T., Jasra, A., Hand D. J., Zhu, A. & Zhou, C. DECODE: a new method for clusters in spatial data, Data Min. Know. Disc. 18, 337-369.
(2008) Jasra, A, & Doucet, A, Stability of SMC Samplers. Stat. Prob. Lett. 78, 3062-3069.
(2008) Andrieu, C, Jasra, A, Doucet, A & Del Moral, P, A note on the convergence of the Equi-Energy Sampler, Stoch. Anal. Appl. 26, 298-313.
(2008) Jasra, A, Doucet, A, Stephens, DA & Holmes, CC, Interacting SMC Samplers, Comput. Stat. Data Anal. 10, 1765-1791.
(2008) Jasra, A, & Yang, C, A regeneration proof of the CLT for uniformly ergodic Markov chains, Stat. Prob. Lett. 78, 1649-1655.
(2007) Jasra, A, Stephens, DA, & Holmes, CC Population-based reversible Jump MCMC, Biometrika. 94, 787-807.
(2007) Jasra, A, Stephens DA & Holmes, CC, On population-based simulation for static inference、Stat. Comp. 17, 263-279.
(2006) Jasra, A, Stephens, DA, Gallagher, KL & Holmes, CC, Bayesian Mixture Modelling in Geochronology via MCMC, Math. Geol. 38, 269-300.
(2005) Jasra A, Holmes CC & Stephens DA, MCMC methods and the label switching problem in Bayesian mixture modelling, Stat. Sci. 20, 50-67.
Publications: Conference/ In Books/ Discussions/Book Reviews (11)
(2012) Jasra, A. Review of `Understanding Probability’. Asia Pacific Mathematics News Letter.
(2012) Barthelme’ S., Chopin, N., Jasra A. & Singh, S. Comments on the paper of Fearnhead & Prangle.
(Thanks to Christian Robert for producing the linked document), JRSSB.
(2012) Jasra, A. Comments on the paper of Fearnhead & Prangle. JRSSB.
(2012) Jasra, A. Review of `Exploring Monte Carlo Methods’. Materials Today.
(2011) Jasra, A. & Singh, S. Comments on the paper of Girolami & Calderhead, JRSSB.
(2007) Hoffman, M., Doucet, A. De Freitas, N. & Jasra, A. Bayesian Policy Learning with Trans-Dimensional MCMC, NIPS.
(2007) Andrieu, C, Jasra, A, Doucet, A & Del Moral, P, Convergence of the Equi-Energy Sampler,
(2007) Andrieu, C, Jasra, A, Doucet, A & Del
Moral, P, Non-Linear Markov chain
(2006) Gallagher, KL, Jasra, A, Stephens, DA & Holmes, CC, A new approach to mixture modelling for geochronology,
16th Annual V M Goldschmidt Conference.
(2006) Doucet, A, Montesano, L & Jasra, A, Optimal filtering for partially observed point processes, ICASSP.
(2006) Del Moral, P, Doucet, A & Jasra, A, Sequential Monte Carlo for Bayesian Computation, Bayesian Statistics 8.
Technical Reports (9)
These are all submitted (or about to be) preprints.
(2014) Beskos, A., Jasra, A., Kantas N. & Thiery A. On the convergence of adaptive SMC methods. A substantial revision
of the previous article here.
(2014) Jasra, A. ABC for a class of time series models.
(2013) Jasra, A. On the behaviour of the backward Feynman-Kac formula.
(2013) Yildirim, S., Singh S. S., Dean T. & Jasra A. Parameter estimation in HMMs with intractable likelihoods via SMC.
(2013) Persing A. & Jasra A. Twisting the alive particle filter.
(2013) Kantas, N, Beskos, A. & Jasra, A. SMC for inverse problems: a case study for Navier Stokes.
(2013) Jasra A. & Wang J. An adaptive SMC method for permanents.
(2013) Jasra, A., Lee, A., Zhang X. & Yau, C. The alive particle filter.
(2013) Campanella, G., De Iorio, M., Jasra, A. & Chadeau-Hyam, M. The TimeMachine package for inference on stochastic trees. Manual.
This list includes co-authors (past/present, including those on minor publications such as comments), former advisors
and those whom I have been involved with as co-supervisors of students + postdocs.
David Balding (UCL, Genetics Institute).
Alex Beskos (NUS, Statistics).
Marc Chadeau (Imperial College London, School of Public Health).
Hock Peng Chan(NUS, Statistics)
Nicolas Chopin (CREST-ENSAE).
Dan Crisan (Imperial College London, Mathematics).
Tom Dean (DPFM)
Pierre Del Moral (UNSW, Maths and Statistics).
Nando De Freitas (University of Oxford, CS).
Maria De Iorio (University College London, Statistics).
Arnaud Doucet (University of Oxford, Statistics).
Kerry Gallagher (Universitie Rennes, Geosciences).
Nikolas Kantas (Imperial College London, Statistics).
Anthony Lee (University of Warwick, Statistics).
Emma McCoy (Imperial College London, Statistics)
Giovanni Montana (Kings College London, Engineering)
David Nott (NUS, Statistics)
Gareth Peters (University College London, Statistics)
Sumeetpal Singh (University of Cambridge, Engineering).
Alexandre Thiery (NUS, Statistics).
Theo Tsagaris (Tudor Capital).
Nick Whiteley (University of Bristol, Statistics).
Chris Yau (Wellcome Trust, Oxford).
Sinan Yildirim (University of Bristol, Statistics).
Research Students and Post-Docs
Yan Zhou (NUS, from Apr 2014). With Nott.
Victor Ong (NUS, from Jan 2014). With Nott.
Adam Persing (UCL, Oct 2013-present). With De Iorio, Beskos & Balding.
Pierre Jacob (NUS, Oct 2012-Oct 2013). Now at Oxford.
Y. Xu (NUS, from Aug 2014). Joint with David Nott.
D. Chen (NUS, 2014-Present). Joint with Alex Thiery.
D. Sen (NUS, 2014-Present). Joint with Alex Thiery (main advisor) and Alex Beskos.
E. A. Muzaffer (NUS, 2013-Present). Joint with Alex Beskos.
S. Wang (CSC, 2013-Present). Joint with Alex Thiery.
C. W. Heng (NUS, 2012-Present). 2nd Supervisor, with Hock Peng Chan.
J. Wang (NUS, 2012-Present). Joint with David Nott.
X. Zhang (IC, 2011-2013), PhD.
Co-Supervisor: Chris Yau.
Now in finance in London.
A.Persing (IC, 2011-2013), PhD.
Co-Supervisor: Dan Crisan and Leonardo Bottolo.
Now post-doc at UCL (London).
E. Ehrlich (IC, 2011-2013), PhD.
Co-Supervisor: Nikolas Kantas.
Now in finance in New York City.
J. Martin (IC, 2008-2012), PhD.
Co-Supervisor: Emma McCoy.
Now post-doc at UCL (London).
A. Cozzini (IC, 2010-2012), PhD.
Co-Supervisor: Giovanni Montana.
Now in finance/sports betting in London.
C. Oduneye (IC, 2010-2011), PhD.
Co-Supervisor: David Stephens.
Now head of credit risk at an investment bank in London/Singapore.
M. Bottone (IC, 2009-2010), MPhil.
Co-Supervisor: David Stephens.
Now doing a PhD.
I. Shiekh (IC, 2008-2010), PhD.
Co-Supervisor: Emma McCoy.
Now an energy analyst in London.
From January 2014 I will teach ST5223 Statistical Models: Theory and Applications. The notes are available here.
The non-assessed problem sheets are here:
Previous Exam Papers:
From August-November 2013 I taught ST2334 Probability and Statistics. Notes, subject to change.
It should be possible (at least for those at NUS) to view a video of the lectures online:
Some example sheets, in brackets are the associated section of the notes:
Joint Expectations (2.3.4)
Joint PMFs (2.3.4)
Conditional Expectations (2.3.5)
More Conditional Expectations (2.3.5)
Continuous Random Variables (2.4.1)
Notes on Integration (Useful for Sections 2.4 onwards)
Non-Assessed problem sheets:
. To be handed in by 5pm on Thursday 19th September on DSAP level 7, pigeon holes.
Assessment 1 Solutions.
Assessment 2. To be handed in by 5pm on Thursday 7th November on DSAP level 7, pigeon holes.
Assessment 2 Solutions.
Examination: Here is a check-list that should assist your revision.
Imperial College London
I taught M3S4\M4S4 Applied probability. The notes are available on request.
I taught M3S9\M4S9 Stochastic Simulation. The notes are available on request.
Block S16, Office 04-04
Department of Statistics and Applied Probability
National University of Singapore
6 Science Drive 2,
phone: (+65) 66011410