Nonparametric importance sampling

Journal of the American Statistical Association

Volumn 91, Issue 435, 1996, Pages 1245-1253

  Zhang, Ping ^a  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

Adaptive importance sampling; Integral evaluation; Kernel density estimation; Monte carlo simulation; Variance reduction

Indexed keywords

EID: 0030335917     PISSN: 01621459     EISSN: 1537274X     Source Type: Journal    
DOI: 10.1080/01621459.1996.10476994     Document Type: Article

References (15)

1. Bucldew, J. A. (1990), Large Deviation Techniques in Decision, Simulation, and Estimation, New York: John Wiley.
2. Chen, J. C., Lu, D. Q., Sadowsky J. S., and Yao, K. (1993), “On Importance Sampling in Digital Communications—Part I: Fundamentals," IEEE Journal on Selected Areas in Communications, 11, 289-298.
3. Givens, G. H., and Raftery, A. E. (1996), “Local Adaptive Importance Sampling for Multivariate Densities with Strong Nonlinear Relationships,” Journal of the American Statistical Association, 91, 132-141.
4. Glynn, P. W., and Iglehart, D. L. (1989), “Importance Sampling for Stochastic Simulations," Management Science, 35, 1367-1392.
5. Kloek, K., and van Kijk, H. K. (1978), "Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo," Econometrica, 46, 1-20.
6. Oh, M. S., and Berger, J. (1992), "Adaptive Importance Sampling in Monte Carlo Integration,” Journal of Statistical Computation and Simulation, 41, 143-168.
7. Oh, M. S., and Berger, J. (1993), "Integration of Multimodal Functions by Monte Carlo Importance Sampling,” Journal of the American Statistical Association, 88, 450-456.
8. Ripley, B. D. (1988), Statistical Inference for Spatial Processes, Cambridge, U.K.: Cambridge University Press.
9. Sadowsky, J. W., and Bucklew, J. A. (1990), “On Large Deviations Theory and Asymptotically Efficient Monte Carlo Estimation,” IEEE Transactions on Information Theory, 36, 579-588.
10. Scott, D. W. (1992), Multivariate Density Estimation: Theory, Practice, and Visualization, New York: John Wiley.
11. Silverman, B. (1986), Density Estimation, London: Chapman and Hall.
12. Siegmund, D. (1976), “Importance Sampling in Monte Carlo Study of Sequential Tests,” The Annals of Statistics, 4, 673-684.
13. Stadler, J. S., and Roy, S. (1993), "Adaptive Importance Sampling," IEEE Journal on Selected Areas in Communications, 11, 309-316.
14. West, M. (1992), "Modelling With Mixtures,” in Bayesian Statistics 4, eds. J. M. Bernardo et al., Oxford, U.K.: Oxford University Press, pp. 503-524.
15. West, M. (1993), “Approximating Posterior Distributions by Mixtures,” Journal of the Royal Statistical Society, Ser. B, 55, 409-422.