A principled stopping rule for importance sampling

DOI10.1214/22-EJS2074MaRDI QIDQ2106773zbMATH OpenOpenAlexFDO

Authors Medha Agarwal, Dootika Vats, Víctor Elvira

Publication date 19 December 2022

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

Full work available at URL https://arxiv.org/abs/2108.13289, https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-16/issue-2/A-principled-stopping-rule-for-importance-sampling/10.1214/22-EJS2074.full

zbMATH Keywords

Monte Carloeffective sample sizediagnostics

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Monte Carlo methods (65C05)

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Cites work

• Adaptive multiple importance sampling
• Bayesian inference in the presence of intractable normalizing functions
• Bayesian order-restricted inference of a Weibull multi-step step-stress model
• CERTAIN GENERALIZATIONS IN THE ANALYSIS OF VARIANCE
• Fixed-width sequential stopping rules for a class of stochastic programs
• Generalized multiple importance sampling
• Importance Sampling and Necessary Sample Size: An Information Theory Approach
• Importance Sampling with the Integrated Nested Laplace Approximation
• Importance sampling the union of rare events with an application to power systems analysis
• Layered adaptive importance sampling
• Markov chain Monte Carlo with the integrated nested Laplace approximation
• Monte Carlo gradient estimation in machine learning
• Multivariate output analysis for Markov chain Monte Carlo
• Product-form estimators: exploiting independence to scale up Monte Carlo
• Relative fixed-width stopping rules for Markov chain Monte Carlo simulations
• Tests for standardized generalized variances of multivariate normal populations of possibly different dimensions
• The asymptotic validity of sequential stopping rules for stochastic simulations
• The sample size required in importance sampling

Cited in

(1)

• On nonasymptotic optimal stopping criteria in Monte Carlo simulations

Describes a project that uses

Uses Software

• R-INLA

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