Archive for trick

unbiased estimator of determinant

Posted in Books, Statistics with tags , , , , on July 3, 2020 by xi'an

Just saw this new [one page] posting on arXiv, meaning an unbiased estimate of the determinant can be derived much faster. If less reliably. This trick can be helpful for (pseudo-marginal) MCMC steps when the determinant itself is of limited interest… (The importance version is not truly needed!)