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Details for article 16 of 20 found articles
| Title: |
Optimal estimators for the importance sampling method |
| Author: |
Philippe, Anne |
| Appeared in: |
Communications in statistics |
| Paging: | Volume 29 (2000) nr. 1 pages 97-119 |
| Year: |
2000 |
| Contents: |
The Monte Carlo method gives some estimators to evaluate the expectation [ILM0001] based on samples from either the true density f or from some instrumental density. In this paper, we show that the Riemann estimators introduced by Philippe (1997) can be improved by using the importance sampling method. This approach produces a class of Monte Carlo estimators such that the variance is of order O(n-2). The choice of an optimal estimator among this class is discussed. Some simulations illustrate the improvement brought by this method. Moreover, we give a criterion to assess the convergence of our optimal estimator to the integral of interest. |
| Publisher: |
Taylor & Francis |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 16 of 20 found articles
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