Estimating standard errors for importance sampling estimators with multiple Markov chains
نویسندگان
چکیده
منابع مشابه
Estimating standard errors for importance sampling estimators with multiple Markov chains
The naive importance sampling estimator based on the samples from a single importance density can be extremely numerically unstable. We consider multiple distributions importance sampling estimators where samples from more than one probability distributions are combined to consistently estimate means with respect to given target distributions. These generalized importance sampling estimators pr...
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ژورنال
عنوان ژورنال: Statistica Sinica
سال: 2018
ISSN: 1017-0405
DOI: 10.5705/ss.202016.0378