Xi'an's Og

“…building such a zero variance estimator is most of the times not practical…”

As I was checking [while looking at Tofino inlet from my rental window] on optimal importance functions following a question on X validated, I came across this arXived note by Pantaleoni and Heitz, where they suggest using weighted sums of step functions to reach minimum variance. However, the difficulty with probability densities that are step functions is that they necessarily have a compact support, which thus make them unsuitable for targeted integrands with non-compact support. And making the purpose of the note and the derivation of the optimal weights moot. It points out its connection with the reference paper of Veach and Guibas (1995) as well as He and Owen (2014), a follow-up to the other reference paper by Owen and Zhou (2000).

This entry was posted on August 17, 2018 at 12:18 am and is filed under Mountains, pictures, Statistics, Travel with tags British Columbia, cross validated, importance sampling, Lone Cone Mountain, Meares Island, minimum variance, Monte Carlo Statistical Methods, multiple importance methods, optimisation, Tofino, Vancouver Island, zero variance importance sampling. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.