On convergence of importance sampling and other properly weighted samples to the target distribution

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dc.creatorMalefaki, S.
dc.creatorIliopoulos, G.
dc.date2005-05-03
dc.date2005-05-16
dc.date.accessioned2026-07-07T08:06:52Z
dc.date.available2026-07-07T08:06:52Z
dc.descriptionWe consider importance sampling as well as other properly weighted samples with respect to a target distribution $π$ from a different point of view. By considering the associated weights as sojourn times until the next jump, we define appropriate jump processes. When the original sample sequence forms an ergodic Markov chain, the associated jump process is an ergodic semi--Markov process with stationary distribution $π$. Hence, the type of convergence of properly weighted samples may be stronger than that of weighted means. In particular, when the samples are independent and the mean weight is bounded above, we describe a slight modification in order to achieve exact (weighted) samples from the target distribution.
dc.description15 pagers, 1 figure
dc.identifierhttps://arxiv.org/abs/math/0505045
dc.identifierhttp://arxiv.org/abs/math/0505045
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/130756
dc.subjectStatistics Theory
dc.subjectProbability
dc.subject65C05; 60K15
dc.titleOn convergence of importance sampling and other properly weighted samples to the target distribution
dc.typetext

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