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Найдено 9 публикаций
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Статья
Shnourkoff P. V., Novikov D. A. Working papers by Cornell University. Series math "arxiv.org". 2018. No. arXiv:1811.10993 [q-fin.GN]. P. 1-15.
Добавлено: 26 февраля 2019
Статья
Dunin-Barkowski P., Popolitov A., Shadrin S. et al. Working papers by Cornell University. Series math "arxiv.org". 2017. Vol. 1712. No. 08614. P. 1-38.
Добавлено: 2 января 2018
Статья
Gayfullin S., Gaifullin A. A. Working papers by Cornell University. Series math "arxiv.org". 2013.
Добавлено: 15 ноября 2013
Статья
Polyakov N. L. Working papers by Cornell University. Series math "arxiv.org". 2018. P. 1-22.
Добавлено: 9 октября 2018
Статья
Nikolai L. Poliakov, Saveliev D. I. Working papers by Cornell University. Series math "arxiv.org". 2018. P. 1-46.
Добавлено: 18 февраля 2019
Статья
P. V. Shnurkov. Working papers by Cornell University. Series math "arxiv.org". 2017. No. 1709.03442v1. P. 1-16.
Добавлено: 13 декабря 2017
Статья
Atanov A., Volokhova A., Ashukha A. et al. Working papers by Cornell University. Series math "arxiv.org". 2019.
Добавлено: 11 июля 2019
Статья
P. V. Shnurkov, K. A. Adamova. Working papers by Cornell University. Series math "arxiv.org". 2019. No. arXiv:1906.05824v1. P. 1-14.
Добавлено: 17 июня 2019
Статья
Belomestny D., Moulines E., Iosipoi L. et al. Working papers by Cornell University. Series math "arxiv.org". 2019. P. 1-32.

In this paper we propose a novel variance reduction approach for additive functionals of Markov chains based on minimization of an estimate for the asymptotic variance of these functionals over suitable classes of control variates. A distinctive feature of the proposed approach is its ability to significantly reduce the overall finite sample variance. This feature is theoretically demonstrated by means of a deep non asymptotic analysis of a variance reduced functional as well as by a thorough simulation study. In particular we apply our method to various MCMC Bayesian estimation problems where it favourably compares to the existing variance reduction approaches.

Добавлено: 10 октября 2019