Robust adaptive importance sampling for normal random vectors

Lelong Jerome, Jourdain, Benjamin, Lelong Jérôme . The Annals of Applied Probability 2009. 19 (5) :1687-1718

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@article{CIS-256956,
  Author = {Lelong Jerome and Jourdain, Benjamin and Lelong Jérôme},
  Title = {Robust adaptive importance sampling for normal random vectors},
  Journal = {The Annals of Applied Probability},
  Volume = {19},
  Number = {5},
  Year = {2009},
  Pages = {1687--1718},
  Keywords = {Central limit theorem, sample averaging}
}

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