Importance sampling simulation in the presence of heavy tails.

Achal Bassamboo Sandeep Juneja Assaf J. Zeevi

Published in: WSC (2005)

Keyphrases

importance sampling
monte carlo
heavy tails
markov chain
kalman filter
particle filter
particle filtering
approximate inference
markov chain monte carlo
bayesian networks
multiscale
pairwise
closed form
posterior distribution