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Applied and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments.

4 votes
0 answers
91 views

Importance sampling of finite path of stochastic difference equation

Before passing to question, let me briefly recap what's importance sampling of random variables is about. Suppose $\xi$ is a real-valued random variable with density $f$, and let $g:\Bbb R\to \Bbb R$ …
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2 votes
1 answer
2k views

Empirical estimator fot the total variation distance on a finite space

I have two probability measures $p$ and $p'$ on a finite set $X$ which I do not know precisely, but which I can sample from. I would like to estimate their total variation (omitting multiplier $2$): $ …
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