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Robust importance sampling with adaptive winsorization - MaRDI portal

Robust importance sampling with adaptive winsorization (Q2676944)

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scientific article
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Robust importance sampling with adaptive winsorization
scientific article

    Statements

    title
    Robust importance sampling with adaptive winsorization (English)
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    author
    Paulo Orenstein
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    published in
    Bernoulli
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    publication date
    28 September 2022
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    zbMATH Keywords
    balancing principle
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    importance sampling
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    Lepskii's method
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    robustness
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    winsorization
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    Identifiers

    DOI
    10.3150/21-BEJ1440
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    Mathematics Subject Classification ID
    62Gxx
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    65Jxx
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    05Axx
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    zbMATH DE Number
    7594081
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