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Stability and sample-based approximations of composite stochastic optimization problems
Dentcheva, Darinka; Lin, Yang; Penev, Spiridon - In: Operations research 71 (2023) 5, pp. 1871-1888
Persistent link: https://www.econbiz.de/10014393285
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Small diffusion asymptotics for discretely sampled stochastic differential equations
Sørensen, Michael (contributor);  … - 2002 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001660122
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The expected sample variance of uncorrelated random variables with a common mean and application in unbalanced random effects models
Vardeman, Stephen B.; Wendelberger, Joanne - 2003
Persistent link: https://www.econbiz.de/10001901129
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The expected sample variance of uncorrelated random variables with a common mean and applications in unbalanced random effects models
Vardeman, Stephen B.; Wendelberger, Joanne R. - 2004 - Rev. version
Persistent link: https://www.econbiz.de/10001981754
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Asymptotically balanced functions and stochastic compactness of sample extremes
Haan, L. de; Resnick, S. I. - 1982
Persistent link: https://www.econbiz.de/10002541500
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The Gibbs Sampler with Particle Efficient Importance Sampling for State-Space Models
Grothe, Oliver - 2017
Monte Carlo (MC) approximation of the standard Gibbs procedure which uses sequential MC (SMC) importance sampling inside the … generic and easily implementable SMC approach known as Particle Efficient Importance Sampling (PEIS). By using SMC importance … sampling densities which are approximately fully globally adapted to the targeted density of the states, PEIS can substantially …
Persistent link: https://www.econbiz.de/10012970355
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Markov Chain Monte Carlo Models, Gibbs Sampling, & Metropolis Algorithm for High-Dimensionality Complex Stochastic Problems
Malhotra, Yogesh - 2015
Algorithms, Gibbs Sampling and Metropolis-Hastings Algorithm. Network and security risk management application focus is on how …
Persistent link: https://www.econbiz.de/10013029835
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Stochastic Langevin Monte Carlo for (weakly) log-concave posterior distributions
Crespo Navas, Marelys; Gadat, Sébastien; Gendre, Xavier - 2023
Persistent link: https://www.econbiz.de/10013486257
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Parametric Estimation of Diffusion Processes Sampled at First Exit Times
Londoño, Jaime A. - 2018
This paper introduces a family of recursively defined estimators of the parameters of a diffusion process. We use ideas of stochastic algorithms for the construction of the estimators. Asymptotic consistency of these estimators and asymptotic normality of an appropriate normalization are proved....
Persistent link: https://www.econbiz.de/10012922371
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Technical note: the elliptical potential lemma for general distributions with an application to linear thompson sampling
Hamidi, Nima; Bayati, Mohsen - In: Operations research 71 (2023) 4, pp. 1434-1439
Persistent link: https://www.econbiz.de/10014338245