On the choice of weights in a function space for quasi-Monte Carlo methods for a class of generalised response models in statistics

DOI10.1007/978-3-642-41095-6_33MaRDI QIDQ2926243zbMATH OpenOpenAlexFDO

Authors Vasile Sinescu, F. Y. Kuo, Ian H. Sloan

Publication date 31 October 2014

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-41095-6_33

zbMATH Keywords

convergencetime series regressionerror boundworst-case errorquasi-Monte Carlo methodquadrature errorrandomly shifted lattice rules

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

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Cites work

• scientific article; zbMATH DE number 1790456 (Why is no real title available?)
• scientific article; zbMATH DE number 2206035 (Why is no real title available?)
• Approximate Inference in Generalized Linear Mixed Models
• Complexity of weighted approximation over \(\mathbb{R}\)
• Component-by-component constructions achieve the optimal rate of convergence for multivariate integration in weighted Korobov and Sobolev spaces
• Constructing Randomly Shifted Lattice Rules in Weighted Sobolev Spaces
• Existence and construction of shifted lattice rules with an arbitrary number of points and bounded weighted star discrepancy for general decreasing weights
• Fast CBC construction of randomly shifted lattice rules achieving \(\mathcal{O}(n^{- 1 + \delta})\) convergence for unbounded integrands over \(\mathbb{R}^s\) in weighted spaces with POD weights
• Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
• Finite-order weights imply tractability of multivariate integration
• Generalized, linear, and mixed models
• High-dimensional integration: The quasi-Monte Carlo way
• On autocorrelation in a Poisson regression model
• Quasi-Monte Carlo finite element methods for a class of elliptic partial differential equations with random coefficients
• Quasi-Monte Carlo for highly structured generalised response models
• Quasi-Monte Carlo methods for high-dimensional integration: the standard (weighted Hilbert space) setting and beyond
• Randomly shifted lattice rules with the optimal rate of convergence for unbounded integrands
• Semiparametric Regression
• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?

Cited in

(6)

• Ian Sloan and Lattice Rules
• Fast CBC construction of randomly shifted lattice rules achieving \(\mathcal{O}(n^{- 1 + \delta})\) convergence for unbounded integrands over \(\mathbb{R}^s\) in weighted spaces with POD weights
• Probabilistic integration: a role in statistical computation?
• Quasi-Monte Carlo for highly structured generalised response models
• Multivariate integration over \(\mathbb{R}^s\) with exponential rate of convergence
• Infinite-dimensional integration and the multivariate decomposition method

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