[ABE-L] Probability Webinar - IM-UFRJ - November 30
Maria Eulalia Vares
eulalia em im.ufrj.br
Ter Nov 24 19:45:05 -03 2020
*Probability Webinar - IM-UFRJ *
Dear colleagues,
Our next online seminar will be held on Monday, *November 30*, from *3 p.m.
to 4 p.m*. (Rio de Janeiro local time)
The GoogleMeet link for the seminars is:
https://meet.google.com/nxh-optr-wtq
Speaker: *Paulo Orenstein (IMPA) *
Title: *Importance sampling with adaptive winsorization*
Abstract: Importance sampling is a widely used technique to estimate the
properties of a distribution. The resulting estimator is always unbiased,
but may sometimes incur huge or infinite variance. This work investigates
trading-off some bias for variance by winsorizing the importance sampling
estimator using an adaptive thresholding procedure based on the Balancing
Principle (also known as Lepskii's Method). This provides a principled way
to perform winsorization, with finite-sample optimality guarantees and good
empirical performance.
All the talks are held in English.
Thanks for circulating this information.
Sincerely,
Organizers: Guilherme Ost and Maria Eulalia Vares
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