Xi'an's Og

A revealing question on X validated of a simulation concept students (and others) have trouble gripping with. Namely using auxiliary variates to simulate from a marginal distribution, since these auxiliary variables are later dismissed and hence appear to them (students) of no use at all. Even after being exposed to the accept-reject algorithm. Or to multiple importance sampling. In the sense that a realisation of a random variable can be associated with a whole series of densities in an importance weight, all of them being valid (but some more equal than others!).

This entry was posted on November 3, 2019 at 12:19 am and is filed under Statistics with tags accept-reject algorithm, Animal Farm, auxiliary variables, cross validated, importance sampling, marginalisation, multiple importance methods, probability basics. 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.