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

Bayesian statisticsmean squared errorimportance weightsintegral evaluationkernel density estimatesresampling algorithmadaptive importance sampling techniquesstrong nonlinear relationships

Mathematics Subject Classification ID

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

Recommendations

• Adaptive multiple importance sampling
• Safe adaptive importance sampling: a mixture approach
• Adaptive mixture importance sampling
• Nonparametric Importance Sampling

Cited in

(24)

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

This page was built for publication: Local Adaptive Importance Sampling for Multivariate Densities With Strong Nonlinear Relationships

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3128653)