6 citations · 10 across the 3 of their papers we have counts for
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stat.CO2018
Unbiased and Consistent Nested Sampling via Sequential Monte Carlo
Robert Salomone, Leah F. South, Christopher Drovandi +2
We introduce a new class of sequential Monte Carlo methods which reformulates the essence of the nested sampling method of Skilling (2006) in terms of sequential Monte Carlo techni…
stat.CO2017★ 3 cited
Accurate Computation of the Distribution of Sums of Dependent Log-Normals with Applications to the Black-Scholes Model
Zdravko Botev, Robert Salomone, Daniel MacKinlay
We present a new Monte Carlo methodology for the accurate estimation of the distribution of the sum of dependent log-normal random variables. The methodology delivers statistically…