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Published in 2019 at "Statistical Science"
DOI: 10.1214/18-sts668
Abstract: Importance Sampling methods are broadly used to approximate posterior distributions or some of their moments. In its standard approach, samples are drawn from a single proposal distribution and weighted properly. However, since the performance depends…
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Keywords:
multiple importance;
generalized multiple;
proposal;
importance sampling ... See more keywords
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Published in 2022 at "Entropy"
DOI: 10.3390/e24020191
Abstract: In this paper, we propose a novel and generic family of multiple importance sampling estimators. We first revisit the celebrated balance heuristic estimator, a widely used Monte Carlo technique for the approximation of intractable integrals.…
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Keywords:
balance heuristic;
estimator;
importance sampling;
heuristic estimator ... See more keywords