Optimal estimators for the importance sampling method

DOI10.1080/03610910008813604MaRDI QIDQ4490162zbMATH OpenOpenAlexFDO

Authors Anne Philippe

Publication date 10 July 2000

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610910008813604

zbMATH Keywords

accept-reject algorithminstrumental densityMonte Carlo methodRiemann estimator

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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Cites work

• Antithetic acceleration of Monte Carlo integration in Bayesian inference
• Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
• scientific article; zbMATH DE number 3881695 (Why is no real title available?)
• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 1350773 (Why is no real title available?)
• New perspectives on linear calibration
• Processing simulation output by riemann sums
• Rao-Blackwellisation of sampling schemes
• Sampling-Based Approaches to Calculating Marginal Densities
• Statistical inference and Monte Carlo algorithms. (With discussion)
• Weighted Monte Carlo Integration

Cited in

(13)

• Random Riemann sum estimator versus Monte Carlo
• Estimation and approximation of densities of i.i.d. sums via importance sampling.
• A class of optimum importance sampling strategies
• Importance sampling for maxima on trees
• Efficient large deviation estimation based on importance sampling
• Efficient simulated maximum likelihood estimation through explicitly parameter dependent importance sampling
• Usage of the importance sample in Monte Carlo methods
• Importance Sampling and Necessary Sample Size: An Information Theory Approach
• On importance sampling in the problem of global optimization
• Importance sampling: how to approach the optimal density?
• Importance Sampling Via the Estimated Sampler
• IMPROVING THE NORMALIZED IMPORTANCE SAMPLING ESTIMATOR
• On improved estimation for importance sampling

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