Importance sampling for sums of random variables with regularly varying tails.
Paul DupuisKevin LederHui WangPublished in: ACM Trans. Model. Comput. Simul. (2007)
Keyphrases
- random variables
- importance sampling
- monte carlo
- graphical models
- approximate inference
- probability distribution
- markov chain
- kalman filter
- latent variables
- particle filter
- posterior distribution
- bayesian networks
- particle filtering
- stochastic optimization problems
- large deviations
- markov chain monte carlo
- probabilistic inference
- conditional probabilities
- state space
- independent and identically distributed
- higher order
- random vectors
- probabilistic model