• français
    • English
  • English 
    • français
    • English
  • Login
JavaScript is disabled for your browser. Some features of this site may not work without it.
BIRD Home

Browse

This CollectionBy Issue DateAuthorsTitlesSubjectsJournals BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesSubjectsJournals

My Account

Login

Statistics

View Usage Statistics

Using systematic sampling selection for Monte Carlo solutions of Feynman-Kac equations

Thumbnail
Date
2008
Link to item file
http://hal.archives-ouvertes.fr/hal-00019334/fr/
Dewey
Probabilités et mathématiques appliquées
Sujet
Chaînes de Markov; Probability
Journal issue
Advances in Applied Probability
Volume
40
Number
2
Publication date
2008
Article pages
454-572
Publisher
The Applied Probability Trust
DOI
http://dx.doi.org/10.1239/aap/1214950212
URI
https://basepub.dauphine.fr/handle/123456789/227
Collections
  • CEREMADE : Publications
Metadata
Show full item record
Author
Rémillard, Bruno
Gentil, Ivan
Type
Article accepté pour publication ou publié
Abstract (EN)
While the convergence properties of many sampling selection methods can be proven, there is one particular sampling selection method introduced in Baker (1987), closely related to `systematic sampling' in statistics, that has been exclusively treated on an empirical basis. The main motivation of the paper is to start to study formally its convergence properties, since in practice it is by far the fastest selection method available. We will show that convergence results for the systematic sampling selection method are related to properties of peculiar Markov chains.

  • Accueil Bibliothèque
  • Site de l'Université Paris-Dauphine
  • Contact
SCD Paris Dauphine - Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16

 Content on this site is licensed under a Creative Commons 2.0 France (CC BY-NC-ND 2.0) license.