Density Estimation by Randomized Quasi-Monte Carlo

DOI10.1137/19M1259213zbMath1462.62224arXiv1807.06133MaRDI QIDQ5858426

Pierre L'Ecuyer, Art B. Owen, Amal Ben Abdellah, Florian Puchhammer

Publication date: 13 April 2021

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.06133

zbMATH Keywords

stratificationsimulationvariance reductiondensity estimationquasi-Monte Carlokernel density

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05)

Related Items (4)

Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities ⋮ Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning ⋮ Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation ⋮ Density Estimation by Monte Carlo and Quasi-Monte Carlo

Uses Software

• KernSmooth
• SSJ
• rhalton

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Quasi-Monte Carlo methods with applications in finance
• Variable kernel density estimation
• Scrambling Sobol' and Niederreiter-Xing points
• Scrambled net variance for integrals of smooth functions
• Randomized quasi-Monte Carlo: an introduction for practitioners
• Combinatorics of partial derivatives
• Stochastic simulation: Algorithms and analysis
• A Brief Survey of Bandwidth Selection for Density Estimation
• A Randomized Quasi-Monte Carlo Simulation Method for Markov Chains
• Latin supercube sampling for very high-dimensional simulations
• Variance with alternative scramblings of digital nets
• Multivariate Density Estimation
• On the distribution of points in a cube and the approximate evaluation of integrals

This page was built for publication: Density Estimation by Randomized Quasi-Monte Carlo