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04/14/2023
Simulating Gaussian vectors via randomized dimension reduction and PCA
We study the problem of estimating E(g(X)), where g is a real-valued fun...
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09/20/2022
Unbiased time-average estimators for Markov chains
We consider a time-average estimator f_k of a functional of a Markov cha...
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11/05/2021
On the effective dimension and multilevel Monte Carlo
I consider the problem of integrating a function f over the d-dimensiona...
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06/01/2020
Least-squares regressions via randomized Hessians
We consider the least-squares regression problem with a finite number of...
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09/06/2019
Optimal unbiased estimators via convex hulls
Necessary and sufficient conditions for the square-integrability of rece...
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08/24/2017