Phase transition for conditional covariance matrices estimated by importance sampling, and implications for cross-entropy schemes in high dimension

Documenti analoghi

• Insight from the Kullback--Leibler divergence into adaptive importance sampling schemes for rare event analysis in high dimension
  di: Beh, Jason, et al.
  Pubblicazione: (2023)
• Affine invariant interacting Langevin dynamics in Markov chain importance sampling for rare event estimation
  di: Beh, Jason, et al.
  Pubblicazione: (2025)
• Functional CLT for general sample covariance matrices
  di: Cui, Jian, et al.
  Pubblicazione: (2026)
• Distribution of singular values in large sample cross-covariance matrices
  di: Swain, Arabind, et al.
  Pubblicazione: (2025)
• On the rate of convergence in the CLT for LSS of large-dimensional sample covariance matrices
  di: Cui, Jian, et al.
  Pubblicazione: (2025)