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Monte Carlo Estimation of the Density of the Sum of Dependent Random Variables. (arXiv:1711.11218v1 [math.ST])
来源于:arXiv
We introduce a novel unbiased estimator for the density of a sum of random
variables. Our estimator possesses several advantages over the conditional
Monte Carlo approach. Specifically, it applies to the case of dependent random
variables, allows for transformations of random variables, is computationally
faster to run, and is simpler to implement. We provide several numerical
examples that illustrate these advantages. 查看全文>>