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math.ST2019★ 2 cited
The square root rule for adaptive importance sampling
Art B. Owen, Yi Zhou
In adaptive importance sampling, and other contexts, we have unbiased and uncorrelated estimates of a common quantity . The optimal unbiased linear combination w…
math.ST2018
Density estimation by Randomized Quasi-Monte Carlo
Amal Ben Abdellah, Pierre L'Ecuyer, Art B. Owen +1
We consider the problem of estimating the density of a random variable that can be sampled exactly by Monte Carlo (MC). We investigate the effectiveness of replacing MC by rand…
math.ST2011★ 39 cited
Consistency of Markov chain quasi-Monte Carlo on continuous state spaces
S. Chen, J. Dick, A. B. Owen
The random numbers driving Markov chain Monte Carlo (MCMC) simulation are usually modeled as independent U(0,1) random variables. Tribble [Markov chain Monte Carlo algorithms using…