Local Adaptive Importance Sampling for Multivariate Densities With Strong Nonlinear Relationships
DOI10.2307/2291389zbMATH Open0869.62025OpenAlexW4246108284MaRDI QIDQ3128653FDOQ3128653
Authors: Geof H. Givens, Adrian E. Raftery 
Publication date: 17 April 1997
Full work available at URL: https://doi.org/10.2307/2291389
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Bayesian statisticsmean squared errorimportance weightsintegral evaluationkernel density estimatesresampling algorithmadaptive importance sampling techniquesstrong nonlinear relationships
Density estimation (62G07) Multivariate analysis (62H99) Monte Carlo methods (65C05) Estimation in multivariate analysis (62H12)
Cited In (24)
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- Non-parametric partial importance sampling for financial derivative pricing
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- Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
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- Iterative Bayesian inversion with Gaussian mixtures: finite sample implementation and large sample asymptotics
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- 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
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- 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
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