no code implementations • 3 Apr 2023 • Denis Belomestny, Artur Goldman, Alexey Naumov, Sergey Samsonov
In this paper, we propose a variance reduction approach for Markov chains based on additive control variates and the minimization of an appropriate estimate for the asymptotic variance.
2 code implementations • 21 Jun 2022 • Artur Goldman, Nikita Puchkin, Valeriia Shcherbakova, Uliana Vinogradova
We suggest a novel procedure for online change point detection.