Importance Sampling and Necessary Sample Size: An Information Theory Approach

The sample size required in importance sampling

The goal of importance sampling is to estimate the expected value of a given function with respect to a probability measure ν using a random sample of size n drawn from a different probability measure μ. If the two measures μ and ν are nearly singular with respect to each other, which is often the case in practice, the sample size required for accurate estimation is large. In this article it is...

Effective sample size for importance sampling based on discrepancy measures

The Effective Sample Size (ESS) is an important measure of efficiency of Monte Carlo methods such as Markov Chain Monte Carlo (MCMC) and Importance Sampling (IS) techniques. In the IS context, an approximation ÊSS of the theoretical ESS definition is widely applied, involving the inverse of the sum of the squares of the normalized importance weights. This formula, ÊSS, has become an essential p...

an economic design of combined double sampling and variable sample size x ̅ control chart

abstract. in recent years several studies have shown that  control charts with adaptive schemes or double sampling plans detect both small and moderate shifts in the process mean more quickly than the traditional shewhart  chart. in the classical double sampling  chart, the difference between two points were placed in the central region of first stage was not considered. in this study, a new co...

Sampling and Sample Size Calculation Authors

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Sample size calculation and sampling techniques.