Two-Stage Importance Sampling With Mixture Proposals

DOI10.1080/01621459.2013.831980MaRDI QIDQ5406362zbMATH OpenOpenAlexFDO

Authors Rong Chen, Wentao Li, Zhiqiang Tan

Publication date 1 April 2014

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01621459.2013.831980

zbMATH Keywords

control variatesnormalizing constantpilot samples

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A Theory of Statistical Models for Monte Carlo Integration
• Adaptive mixture importance sampling
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• Concavity and estimation
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• On the asymptotics of constrained \(M\)-estimation
• Simulating normalizing constants: From importance sampling to bridge sampling to path sampling
• Stochastic Approximation in Monte Carlo Computation
• Variance Reduction Techniques for Estimating Value-at-Risk
• Weak convergence and empirical processes. With applications to statistics

Cited in

(3)

• Importance sampling: intrinsic dimension and computational cost
• Importance sampling and its optimality for stochastic simulation models
• Selection of Proposal Distributions for Multiple Importance Sampling

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