Timeline for Can importance sampling be used as an actual sampling mechanism?
Current License: CC BY-SA 4.0
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| when toggle format | what | by | license | comment | |
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| Nov 26, 2019 at 7:12 | comment | added | Xi'an | No variance means infinite variance. | |
| Nov 26, 2019 at 7:12 | history | edited | Xi'an | CC BY-SA 4.0 |
added 103 characters in body
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| Nov 26, 2019 at 0:47 | comment | added | Y.Z. | I am not quite sure if I follow this part: "dividing the $p(Y_i)/q(Y_i)$ by the random sum of the weights, which modifies the marginal distribution of the resampled rv's, especially when the sum has no variance". Could you explain in more detail? Specifically, why the marginal distribution is modified, and why the sum has no variance (isn't it a random variable, albeit with quite complicated pdf)? | |
| Nov 23, 2019 at 8:25 | history | answered | Xi'an | CC BY-SA 4.0 |