Local Adaptive Importance Sampling for Multivariate Densities With Strong Nonlinear Relationships

DOI10.2307/2291389MaRDI QIDQ3128653zbMATH OpenOpenAlexFDO

Authors Geof H. Givens, Adrian E. Raftery

Publication date 17 April 1997

Full work available at URL https://doi.org/10.2307/2291389

zbMATH Keywords

adaptive importance sampling techniquesBayesian statisticsimportance weightsintegral evaluationkernel density estimatesmean squared errorresampling algorithmstrong nonlinear relationships

Mathematics Subject Classification ID

Density estimation (62G07) Estimation in multivariate analysis (62H12) Multivariate analysis (62H99) Monte Carlo methods (65C05)

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Cited in

(25)

• Langevin incremental mixture importance sampling
• Importance sampling from posterior distributions using copula-like approximations
• Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
• Consistency of the local kernel density estimator
• Safe adaptive importance sampling: a mixture approach
• Implicitly adaptive importance sampling
• Nonparametric importance sampling for wind turbine reliability analysis with stochastic computer models
• A path sampling identity for computing the Kullback-Leibler and J divergences
• Gibbs sampler by sampling-importance-resampling
• Estimating and Projecting Trends in HIV/AIDS Generalized Epidemics Using Incremental Mixture Importance Sampling
• Sequential Monte Carlo Samplers
• Adaptive mixture importance sampling
• Filtering with state space localized Kalman gain
• Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
• On an automatic and optimal importance sampling approach with applications in finance
• Iterative importance sampling algorithms for parameter estimation
• Robust importance sampling for some typical types of utility-based shortfall risk measures using exponential twisting and kernel density techniques
• Population Quasi-Monte Carlo
• Randomized quasi-random sampling/importance resampling
• Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws
• Non-parametric partial importance sampling for financial derivative pricing
• Markov Kernels Local Aggregation for Noise Vanishing Distribution Sampling
• An iterative version of the adaptive Gaussian mixture filter
• Variance-reduced sampling importance resampling
• Iterative Bayesian inversion with Gaussian mixtures: finite sample implementation and large sample asymptotics

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