Monte Carlo estimation of the density of the sum of dependent random variables.
Patrick J. LaubRobert SalomoneZdravko I. BotevPublished in: Math. Comput. Simul. (2019)
Keyphrases
- monte carlo
- random variables
- probability density
- importance sampling
- monte carlo simulation
- independent and identically distributed
- graphical models
- statistically independent
- probability distribution
- markov chain
- monte carlo methods
- bayesian networks
- conditional independence
- latent variables
- stochastic optimization problems
- adaptive sampling
- distribution function
- conditional probabilities
- conditionally independent
- stochastic processes
- belief propagation
- random vectors
- matrix inversion
- temporal difference
- particle filter
- monte carlo tree search
- joint probability distribution
- markovian decision
- variance reduction
- sample size
- lead time
- density estimation
- probability density function