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stat.CO2022
Conditional Quasi-Monte Carlo with Constrained Active Subspaces
Sifan Liu
Conditional Monte Carlo or pre-integration is a powerful tool for reducing variance and improving the regularity of integrands when using Monte Carlo and quasi-Monte Carlo (QMC) me…
stat.ME2022
Black-box Selective Inference via Bootstrapping
Sifan Liu, Jelena Markovic-Voronov, Jonathan Taylor
Conditional selective inference requires an exact characterization of the selection event, which is often unavailable except for a few examples like the lasso. This work addresses…
math.NA2022
Pre-integration via Active Subspaces
Sifan Liu, Art B. Owen
Pre-integration is an extension of conditional Monte Carlo to quasi-Monte Carlo and randomized quasi-Monte Carlo. It can reduce but not increase the variance in Monte Carlo. For qu…