Robust importance sampling with adaptive winsorization

DOI10.3150/21-BEJ1440MaRDI QIDQ2676944

Paulo Orenstein

Publication date: 28 September 2022

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.11130

zbMATH Keywords

robustnessimportance samplingwinsorizationbalancing principleLepskii's method

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Enumerative combinatorics (05Axx) Numerical analysis in abstract spaces (65Jxx)

Cites Work

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• About the Balancing Principle for Choice of the Regularization Parameter
• Semiparametric exponential families for heavy-tailed data
• The Lepskii principle revisited

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