167 citations · 825 across the 73 of their papers we have counts for
9 papers · 1 filter
Unreasonable effectiveness of Monte Carlo
Art B. Owen
This is a comment on the article "Probabilistic Integration: A Role in Statistical Computation?" by F.-X. Briol, C. J. Oates, M. Girolami, M. A. Osborne and D. Sejdinovic to appear…
Importance sampling the union of rare events with an application to power systems analysis
Art B. Owen, Yury Maximov, Michael Chertkov
We consider importance sampling to estimate the probability of a union of rare events defined by a random variable . The sampler we study has been use…
A randomized Halton algorithm in R
Art B. Owen
Randomized quasi-Monte Carlo (RQMC) sampling can bring orders of magnitude reduction in variance compared to plain Monte Carlo (MC) sampling. The extent of the efficiency gain vari…
Transformations and Hardy-Krause variation
Kinjal Basu, Art B. Owen
Using a multivariable Faa di Bruno formula we give conditions on transformations where is a closed and bounded subset of such…
Statistically efficient thinning of a Markov chain sampler
Art B. Owen
It is common to subsample Markov chain output to reduce the storage burden. Geyer (1992) shows that discarding out of every observations will not improve statistical effi…
Optimal mixture weights in multiple importance sampling
Hera Y. He, Art B. Owen
In multiple importance sampling we combine samples from a finite list of proposal distributions. When those proposal distributions are used to create control variates, it is possib…