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stat.CO2021
A principled stopping rule for importance sampling
Medha Agarwal, Dootika Vats, Víctor Elvira
Importance sampling (IS) is a Monte Carlo technique that relies on weighted samples, simulated from a proposal distribution, to estimate intractable integrals. The quality of the e…
stat.CO2020
Globally-centered autocovariances in MCMC
Medha Agarwal, Dootika Vats
Autocovariances are a fundamental quantity of interest in Markov chain Monte Carlo (MCMC) simulations with autocorrelation function (ACF) plots being an integral visualization tool…