no code implementations • 17 Feb 2021 • Xiequan Fan, Pierre Alquier, Paul Doukhan
We introduce a class of Markov chains, that contains the model of stochastic approximation by averaging and non-averaging.
no code implementations • 2 May 2019 • Pierre Alquier, Karine Bertin, Paul Doukhan, Rémy Garnier
We propose a vector auto-regressive (VAR) model with a low-rank constraint on the transition matrix.
no code implementations • 27 Aug 2018 • Pierre Alquier, Paul Doukhan, Xiequan Fan
In this paper, we extend the basic tools of Dedecker and Fan (2015) to nonstationary Markov chains.