Improving the Normalized Importance Sampling Estimator
Probability in the Engineering and Informational Sciences, 2012
Posted: 27 Oct 2013
Date Written: October 20, 2012
The normalized importance sampling estimator allows the target density f to be known only up to a multiplicative constant. We indicate how it can be derived by a delta method-based approximation of a Rao-Blackwellized acceptance rejection estimator. Using additional terms in the delta method then results on a new estimator that also only requires f to be known only up to a multiplicative constant. Numerical examples indicate that the new estimator usually outperforms the normalized importance sampling estimator in terms of mean square error.
Keywords: Monte Carlo simulation, importance sampling, Delta method
JEL Classification: C15
Suggested Citation: Suggested Citation