Asymptotically efficient importance sampling for bootstrap

DOI10.1007/S10958-016-2791-4MaRDI QIDQ292319zbMATH OpenOpenAlexFDO

Authors Mikhail Sergeevich Ermakov

Publication date 8 June 2016

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-016-2791-4

Mathematics Subject Classification ID

Large deviations (60F10) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09)

Recommendations

• Importance sampling for simulations of moderate deviation probabilities of statistics
• Efficient large deviation estimation based on importance sampling
• Large deviations for weighted empirical measures arising in importance sampling
• Moderate deviation principles for importance sampling estimators of risk measures
• Importance Sampling for Simulation of Large and Moderate Deviation Probabilities of Tests and Estimators

Cites work

• Delta method in large deviations and moderate deviations for estimators
• scientific article; zbMATH DE number 44252 (Why is no real title available?)
• scientific article; zbMATH DE number 3504209 (Why is no real title available?)
• Importance Sampling for Bootstrap Confidence Intervals
• Importance sampling for simulations of moderate deviation probabilities of statistics
• Monte Carlo simulation and large deviations theory for uniformly recurrent Markov chains
• On large deviations theory and asymptotically efficient Monte Carlo estimation
• On Monte Carlo estimation of large deviations probabilities
• Weak convergence and empirical processes. With applications to statistics

Cited in

(6)

• Importance sampling for simulations of moderate deviation probabilities of statistics
• Importance Sampling for Bootstrap Confidence Intervals
• Importance sampling and the nested bootstrap
• Moderate deviation principles for importance sampling estimators of risk measures
• scientific article; zbMATH DE number 774867 (Why is no real title available?)
• Large deviations for weighted empirical measures arising in importance sampling

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