Population Monte Carlo algorithm in high dimensions

DOI10.1007/S11009-009-9154-2zbMath1221.65028OpenAlexW1970770631WikidataQ56994521 ScholiaQ56994521MaRDI QIDQ539520

Jeong Eun Lee, Ross S. McVinish, Kerrie L. Mengersen

Publication date: 30 May 2011

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-009-9154-2

zbMATH Keywords

importance samplingcentral limit theoremasymptotic variance of estimatePopulation Monte Carlo method

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (2)

Coupling random inputs for parameter estimation in complex models ⋮ Iterative Importance Sampling Algorithms for Parameter Estimation

Cites Work

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• Matrix Analysis
• Sequential Monte Carlo Methods for Dynamic Systems
• Filtering via Simulation: Auxiliary Particle Filters
• Minimum variance importance samplingviaPopulation Monte Carlo
• Monte Carlo strategies in scientific computing

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