On nonnegative unbiased estimators
From MaRDI portal
Publication:2343962
DOI10.1214/15-AOS1311zbMath1321.65015arXiv1309.6473OpenAlexW3104853881MaRDI QIDQ2343962
Pierre E. Jacob, Alexandre H. Thiery
Publication date: 11 May 2015
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.6473
algorithmMonte Carlo methodsunbiased estimatorsign problemPoisson estimatorBernoulli factory\(f\)-factory
Related Items (15)
Mini-Batch Metropolis–Hastings With Reversible SGLD Proposal ⋮ The Block-Poisson Estimator for Optimally Tuned Exact Subsampling MCMC ⋮ Unnamed Item ⋮ Optimal unbiased estimation for expected cumulative discounted cost ⋮ Rao–Blackwellisation in the Markov Chain Monte Carlo Era ⋮ Pseudo-Marginal Inference for CTMCs on Infinite Spaces via Monotonic Likelihood Approximations ⋮ Perfect sampling of the posterior in the hierarchical Pitman-Yor process ⋮ A randomized multi-index sequential Monte Carlo method ⋮ Unbiased Bayesian inference for population Markov jump processes via random truncations ⋮ Barker's algorithm for Bayesian inference with intractable likelihoods ⋮ Model comparison for Gibbs random fields using noisy reversible jump Markov chain Monte Carlo ⋮ Unbiased Estimators and Multilevel Monte Carlo ⋮ Speeding up MCMC by Delayed Acceptance and Data Subsampling ⋮ Informed sub-sampling MCMC: approximate Bayesian inference for large datasets ⋮ From the Bernoulli factory to a dice enterprise via perfect sampling of Markov chains
Cites Work
- Unnamed Item
- The pseudo-marginal approach for efficient Monte Carlo computations
- Approximate Bayesian computational methods
- Unbiased nonparametric estimation of the derivative of the mean
- The formal definition of reference priors
- Unbiased Monte Carlo evaluation of certain functional integrals
- Fast simulation of new coins from old
- Exact sampling for intractable probability distributions via a Bernoulli factory
- Particle-based likelihood inference in partially observed diffusion processes using generalised Poisson estimators
- Exact simulation of diffusions
- Retrospective exact simulation of diffusion sample paths with applications
- Unbiased Estimation with Square Root Convergence for SDE Models
- Bridging the ensemble Kalman and particle filters
- Posterior Sampling When the Normalizing Constant is Unknown
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Particle Filters for Partially Observed Diffusions
- Sequential Monte Carlo Methods for Dynamic Systems
- A class of unbiased kernel estimates of a probability density function
- A Bernoulli factory
- Markov Chain Monte Carlo for Exact Inference for Diffusions
- Simulating events of unknown probabilities via reverse time martingales
- A general method for debiasing a Monte Carlo estimator
- Exact retrospective Monte Carlo computation of arithmetic average Asian options
- An efficient Markov chain Monte Carlo method for distributions with intractable normalising constants
This page was built for publication: On nonnegative unbiased estimators