Robust importance sampling with adaptive winsorization

DOI10.3150/21-BEJ1440MaRDI QIDQ2676944zbMATH OpenFDO

Authors Paulo Orenstein

Publication date 28 September 2022

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1810.11130, https://projecteuclid.org/journals/bernoulli/volume-28/issue-4/Robust-importance-sampling-with-adaptive-winsorization/10.3150/21-BEJ1440.full

zbMATH Keywords

balancing principleimportance samplingLepskii's methodrobustnesswinsorization

Mathematics Subject Classification ID

Enumerative combinatorics (05Axx) Nonparametric inference (62Gxx) Numerical analysis in abstract spaces (65Jxx)

Cites work

• About the balancing principle for choice of the regularization parameter
• Adaptive pointwise estimation of conditional density function
• Estimator selection: a new method with applications to kernel density estimation
• scientific article; zbMATH DE number 4197203 (Why is no real title available?)
• Integral approximation by kernel smoothing
• Laplace approximation for logistic Gaussian process density estimation and regression
• Mathematics and computer science: coping with finiteness
• On the importance sampling of self-avoiding walks
• Semiparametric exponential families for heavy-tailed data
• The Lepskii principle revisited
• The self-avoiding walk.

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