16 citations · 43 across the 8 of their papers we have counts for
Showing 2017Show all
2 papers · 1 filter
stat.CO2017★ 7 cited
Randomized Dimension Reduction for Monte Carlo Simulations
Nabil Kahale
We present a new unbiased algorithm that estimates the expected value of f(U) via Monte Carlo simulation, where U is a vector of d independent random variables, and f is a function…
stat.CO2017
Efficient simulation of high dimensional Gaussian vectors
Nabil Kahale
We describe a Markov chain Monte Carlo method to approximately simulate a centered d-dimensional Gaussian vector X with given covariance matrix. The standard Monte Carlo method is…