تقرير
Sampling from mixture distributions based on regime-switching diffusions
| العنوان: | Sampling from mixture distributions based on regime-switching diffusions |
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| المؤلفون: | Tretyakov, M. V. |
| سنة النشر: | 2024 |
| المجموعة: | Computer Science Mathematics Statistics |
| مصطلحات موضوعية: | Mathematics - Numerical Analysis, Mathematics - Probability, Mathematics - Statistics Theory, 65C30, 60H35, 60H10, 37H10 |
| الوصف: | It is proposed to use stochastic differential equations with state-dependent switching rates (SDEwS) for sampling from finite mixture distributions. An Euler scheme with constant time step for SDEwS is considered. It is shown that the scheme converges with order one in weak sense and also in the ergodic limit. Numerical experiments illustrate the use of SDEwS for sampling from mixture distributions and confirm the theoretical results. |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/2407.13389 |
| رقم الأكسشن: | edsarx.2407.13389 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |