Xi'an's Og

Just saw this new [one page] posting on arXiv, meaning an unbiased estimate of the determinant can be derived much faster. If less reliably. This trick can be helpful for (pseudo-marginal) MCMC steps when the determinant itself is of limited interest… (The importance version is not truly needed!)

This entry was posted on July 3, 2020 at 12:20 am and is filed under Books, Statistics with tags arXiv, determinant computation, pseudo-marginal MCMC, simulation, trick. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.