The importance-sampling tag has no wiki summary.
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Importance sampling of finite path of stochastic difference equation
Before passing to question, let me briefly recap what's importance sampling of random variables is about. Suppose $\xi$ is a real-valued random variable with density $f$, and let $g:\Bbb R\to \Bbb R$ ...
2
votes
1answer
149 views
Bootstrapping importance sampling estimates
I've got two algorithms, $A$ and $B$, I want to evaluate. Both algorithms differ by the distribution of points they produce. Let us suppose that $A$ generates points from $P_S$ distribution while B ...
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Variance of average of estimate computed by importance sampling
I have a random variable X of which I sample N values [$x_{1}$...$x_{N}$]. From these values I calculate the estimate P of function H(x) using Importance Sampling, i.e. $P = \sum_{i=1}^{N} ...
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votes
1answer
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Variance for hit-and-miss Monte Carlo method and importance sampling
Variance for Hit-and-Miss Monte Carlo is given by $Var(\theta)=\frac{\Theta*(1-\Theta)}{N}$ where $\theta$ is the estimated probability of Hit and N is the number of simulations. Can someone explain ...
3
votes
1answer
65 views
Variable importance randomForest negative values
I am asking myself if it is a good idea to remove those variables with a negative variable importance value ("%IncMSE") in a regression context. And if it gives me a better prediction? What do you ...
2
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2answers
136 views
Can the ratio importance sampling estimate by made to be unbiased with resampling?
Consider approximating the following integral:
$$
\mathcal{Z} = \int h(x) \pi(x) dx
$$
Where $\pi$ is known only up to a normalizing constant, that is, $\pi(x) = \hat{\pi}(x)/\mathcal{Z}_\pi$. We can ...
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votes
3answers
259 views
A short question on sample variance
Consider estimating the variance of a RV $X$, we start with the sample variance:
$$
\begin{array}{ll}
V_1 & = \frac{1}{N-1} \sum_{i=1}^N (X_i - \bar{X})^2\\
& = \frac{1}{N-1} ...
7
votes
2answers
215 views
Results on Monte Carlo estimates produced by importance sampling
I have been working on importance sampling fairly closely for the past year and have a few open-ended questions that I was hoping to get some help with.
My practical experience with importance ...
3
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1answer
384 views
How to compute importance sampling?
I am trying implement importance sampling of this integral
$$
\mathfrak{I} = \int\limits_{-\infty }^{\infty }{\sqrt{\left| \frac{\theta }{1-\theta } \right|}}f(\theta )\text{d}\theta
$$
where ...
