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On sample generation and weight calculation in multiple importance sampling.

Victor ElviraLuca MartinoDavid LuengoMónica F. Bugallo
Published in: ACSSC (2015)
Keyphrases
  • importance sampling
  • monte carlo
  • variance estimator
  • particle filter
  • kalman filter
  • markov chain
  • rare events
  • state space
  • approximate inference