Stochastic adaptation of importance sampler
Improving efficiency of the importance sampler is at the centre of research on Monte Carlo methods. While the adaptive approach is usually not so straightforward within the Markov chain Monte Carlo framework, the counterpart in importance sampling can be justified and validated easily. We propose an...
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| Format: | Journal Article |
| Language: | English |
| Published: |
2013
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| Online Access: | https://hdl.handle.net/10356/95724 http://hdl.handle.net/10220/11998 |