Importance Sampling and Necessary Sample Size: An Information Theory Approach.
Daniel Sanz-AlonsoPublished in: SIAM/ASA J. Uncertain. Quantification (2018)
Keyphrases
- information theory
- sample size
- importance sampling
- monte carlo
- information theoretic
- model selection
- kalman filter
- markov chain
- random sampling
- upper bound
- hyperparameters
- variance reduction
- posterior distribution
- particle filter
- approximate inference
- worst case
- particle filtering
- markov chain monte carlo
- cross validation
- machine learning
- parameter estimation
- mutual information
- image processing
- regression model
- data points
- feature selection