[ABE-L] Probability Webinar - IM-UFRJ - November 30

[Maria Eulalia Vares]

*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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