Conditional Monte Carlo revisited

DOI10.1111/SJOS.12549MaRDI QIDQ5043787zbMATH OpenOpenAlexFDO

Authors Bo Henry Lindqvist, Rasmus Erlemann, Gunnar Taraldsen

Publication date 6 October 2022

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/2010.07065

zbMATH Keywords

change of variablesconditional distributionexponential familygoodness-of-fit testingMonte Carlo simulationpivotal quantitysufficiency

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Sufficient statistics and fields (62B05) Nonparametric hypothesis testing (62G10) Monte Carlo methods (65C05)

Abstract: Conditional Monte Carlo refers to sampling from the conditional distribution of a random vector X given the value T(X) = t for a function T(X). Classical conditional Monte Carlo methods were designed for estimating conditional expectations of functions of X by sampling from unconditional distributions obtained by certain weighting schemes. The basic ingredients were the use of importance sampling and change of variables. In the present paper we reformulate the problem by introducing an artificial parametric model, representing the conditional distribution of X given T(X)=t within this new model. The key is to provide the parameter of the artificial model by a distribution. The approach is illustrated by several examples, which are particularly chosen to illustrate conditional sampling in cases where such sampling is not straightforward. A simulation study and an application to goodness-of-fit testing of real data are also given.

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Cited in

(9)

• MCMC methods to approximate conditional predictive distributions
• Miscellanea. Stochastic simulations conditioned on sufficient statistics
• A counterexample to a claim about stochastic simulations
• Acceptance–Rejection Sampling from the Conditional Distribution of Independent Discrete Random Variables, given their Sum
• Theory & Methods: An Efficient Simulation Method for the Computation of a Class of Conditional Expectations
• Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning
• Monte Carlo conditioning on a sufficient statistic
• Durbin's random substitution and conditional Monte Carlo
• How many inner simulations to compute conditional expectations with least-square Monte Carlo?

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