Resource title

New Importance Sampling Densities

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Resource description

To compute the expectation of a function with respect to a multivariate distribution naive Monte Carlo is often not feasible. In such cases importance sampling leads to better estimates than the rejection method. A new importance sampling distribution, the product of one-dimensional table mountain distributions with exponential tails, turns out to be flexible and useful for Bayesian integration problems. To obtain a heavy-tailed importance sampling distribution a new radius transform for the above distribution is suggested. Together with a linear transform the new importance sampling distributions lead to simple and fast integration algorithms with reliable error bounds. (author's abstract) ; Series: Preprint Series / Department of Applied Statistics and Data Processing

Resource author

Wolfgang Hörmann

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Resource publish date

Resource language

en

Resource content type

application/pdf

Resource resource URL

http://epub.wu.ac.at/1066/1/document.pdf

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