2 papers
math.ST2024
On importance sampling and independent Metropolis-Hastings with an unbounded weight function
George Deligiannidis, Pierre E. Jacob, El Mahdi Khribch +1
Importance sampling and independent Metropolis-Hastings are among the fundamental building blocks of Monte Carlo methods. Both require a proposal distribution that globally approxi…
stat.ME2024
Unbiased Markov Chain Monte Carlo: what, why, and how
Yves F. Atchadé, Pierre E. Jacob
This document presents methods to remove the initialization or burn-in bias from Markov chain Monte Carlo (MCMC) estimates, with consequences on parallel computing, convergence dia…