Sampling from mixture distributions based on regime-switching diffusions

Autor:	Tretyakov, M. V.
Rok vydání:	2024
Předmět:	Mathematics - Numerical Analysis Mathematics - Probability Mathematics - Statistics Theory 65C30 60H35 60H10 37H10
Druh dokumentu:	Working Paper
Popis:	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.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2407.13389 Zobrazit plný text záznamu View this record from Arxiv