On improved estimation for importance sampling

DOI10.1214/11-BJPS155zbMATH Open1282.65014MaRDI QIDQ642209FDOQ642209

Authors: David Firth 

Publication date: 25 October 2011

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

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• Importance Sampling Via the Estimated Sampler
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zbMATH Keywords

simulationvariance reductionHorvitz-Thompson estimatorregression estimatordifference estimator

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Sampling theory, sample surveys (62D05) Sequential statistical analysis (62L10)

Cites Work

• Model assisted survey sampling
• Title not available (Why is that?)
• Title not available (Why is that?)
• Weighted Average Importance Sampling and Defensive Mixture Distributions
• Title not available (Why is that?)
• Importance sampling in the Monte Carlo study of sequential tests
• Title not available (Why is that?)
• Robust Models in Probability Sampling

Cited In (28)

• IMPROVING THE NORMALIZED IMPORTANCE SAMPLING ESTIMATOR
• Consistent estimation of the accuracy of importance sampling using regenerative simulation
• Conservative hypothesis tests and confidence intervals using importance sampling
• A note on importance resampling for multi-dimensional statistics
• Case-deletion importance sampling estimators: central limit theorems and related results
• A principled stopping rule for importance sampling
• Importance Sampling Via the Estimated Sampler
• Safe and Effective Importance Sampling
• Image-based empirical importance sampling: an efficient way of estimating intensities
• Estimation and approximation of densities of i.i.d. sums via importance sampling.
• Exact inference using variable integrating constant importance distributions
• Importance sampling for maxima on trees
• Alternative proof and interpretations for a recent state-dependent importance sampling scheme
• Importance Sampling via Load-Balanced Facility Location
• Efficient large deviation estimation based on importance sampling
• Efficient simulated maximum likelihood estimation through explicitly parameter dependent importance sampling
• Importance Sampling and Necessary Sample Size: An Information Theory Approach
• Testing the assumptions behind importance sampling
• The convergence rate and asymptotic distribution of the bootstrap quantile variance estimator for importance sampling
• Improved monte carlo estimation of statistical significance for tests of trend in rates proportions
• Weighted Average Importance Sampling and Defensive Mixture Distributions
• Improved Sampling‐Importance Resampling and Reduced Bias Importance Sampling
• A class of optimum importance sampling strategies
• Importance sampling: how to approach the optimal density?
• Efficient estimation of multiple expectations with the same sample by adaptive importance sampling and control variates
• Optimal estimators for the importance sampling method
• An importance sampling method based on the density transformation of Lévy processes
• On importance sampling in the problem of global optimization

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