On the optimality and stability of exponential twisting in Monte Carlo estimation

DOI10.1109/18.179349zbMath0766.62018OpenAlexW2122502060MaRDI QIDQ4034438

John S. Sadowsky

Publication date: 16 May 1993

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/18.179349

zbMATH Keywords

importance samplingsample meanMonte Carlo techniqueerror momentsasymptotically optimal sampling distributionoptimized exponentially twisted distributionsample variance estimatorsuniform asymptotic stability property

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Monte Carlo methods (65C05) Large deviations (60F10) Statistical aspects of information-theoretic topics (62B10)

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