Sampling from mixture distributions based on regime-switching diffusions
Numerical Analysis
2025-05-08 v3 Numerical Analysis
Probability
Statistics Theory
Statistics Theory
Abstract
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.
Cite
@article{arxiv.2407.13389,
title = {Sampling from mixture distributions based on regime-switching diffusions},
author = {M. V. Tretyakov},
journal= {arXiv preprint arXiv:2407.13389},
year = {2025}
}
Comments
accepted by SIAM J. Sci. Comp