Importance Sampling for Logarithmic Pool Ensembles
Resumen
In this work, theoretical results and computational simulations are being developed for the use of Importance Sampling (IS) schemes in situations where the target distribution (πα(x)) can be expressed as proportional to a logarithmic combination of distributions (πk(x)’s). The objectives include determining the optimal proposals sets and bounds for the variances of the IS estimators when calculated using these proposal sets and comparing them to known proposal schemes. [...]
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