Nonparametric Importance Sampling

DOI10.2307/2291743MaRDI QIDQ4366023zbMATH OpenOpenAlexFDO

Authors Ping Zhang

Publication date 25 January 1998

Full work available at URL https://doi.org/10.2307/2291743

zbMATH Keywords

adaptive importance samplingintegral evaluationkernel density estimationMonte Carlo simulationvariance reduction

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Probabilistic methods, stochastic differential equations (65C99)

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Cited in

(35)

• Nonparametric quantile estimation using importance sampling
• Safe adaptive importance sampling: a mixture approach
• Implicitly adaptive importance sampling
• A general purpose strategy for realizing the zero-variance importance sampling and calculating the unknown integration constant
• Importance sampling and its optimality for stochastic simulation models
• A path sampling identity for computing the Kullback-Leibler and J divergences
• Rare event probability estimation in the presence of epistemic uncertainty on input probability distribution parameters
• An efficient binning scheme with application to statistical crack mechanics
• Estimating and Projecting Trends in HIV/AIDS Generalized Epidemics Using Incremental Mixture Importance Sampling
• Local Adaptive Importance Sampling for Multivariate Densities With Strong Nonlinear Relationships
• Probabilistic safety analysis of the collision between a space debris and a satellite with an island particle algorithm
• scientific article; zbMATH DE number 4213409 (Why is no real title available?)
• Importance sampling in stochastic programming: a Markov chain Monte Carlo approach
• Importance Sampling Via the Estimated Sampler
• On an automatic and optimal importance sampling approach with applications in finance
• Iterative importance sampling algorithms for parameter estimation
• Bayesian Model Assessment and Comparison Using Cross-Validation Predictive Densities
• Robust importance sampling for some typical types of utility-based shortfall risk measures using exponential twisting and kernel density techniques
• Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws
• Monte Carlo integration with a growing number of control variates
• Computationally efficient nonparametric importance sampling
• Non-parametric partial importance sampling for financial derivative pricing
• An adaptive importance sampling technique
• Accelerating convergence in stochastic particle dispersion simulation codes
• Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models
• Efficient estimation of multiple expectations with the same sample by adaptive importance sampling and control variates
• The generalized cross entropy method, with applications to probability density estimation
• Nonasymptotic bounds for suboptimal importance sampling
• The square root rule for adaptive importance sampling
• A distributions-based approach for data-consistent inversion
• Analysis of adaptive directional stratification for the controlled estimation of rare event probab\-ilities
• A minimax near-optimal algorithm for adaptive rejection sampling
• Integral approximation by kernel smoothing
• Markov chain importance sampling with applications to rare event probability estimation
• Unconstrained recursive importance sampling

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