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stat.ME2026
Entropic Mirror Monte Carlo
Anas Cherradi, Yazid Janati, Alain Durmus +3
Importance sampling is a Monte Carlo method which designs estimators of expectations under a target distribution using weighted samples from a proposal distribution. When the targe…
stat.ME2022★ 1 cited
Variance estimation for Sequential Monte Carlo Algorithms: a backward sampling approach
Yazid Janati El idrissi, Sylvain Le Corff, Yohan Petetin
In this paper, we consider the problem of online asymptotic variance estimation for particle filtering and smoothing. Current solutions for the particle filter rely on the particle…