Importance sampling: a review 论文
2009Wiley Interdisciplinary Reviews Computational Statistics引用 368
Probability and Risk ModelsBayesian Methods and Mixture ModelsStatistical Methods and Bayesian Inference
摘要
Abstract We provide a short overview of importance sampling—a popular sampling tool used for Monte Carlo computing. We discuss its mathematical foundation and properties that determine its accuracy in Monte Carlo approximations. We review the fundamental developments in designing efficient importance sampling (IS) for practical use. This includes parametric approximation with optimization‐based adaptation, sequential sampling with dynamic adaptation through resampling and population‐based approaches that make use of Markov chain sampling. Copyright © 2009 John Wiley & Sons, Inc. This article is categorized under: Statistical and Graphical Methods of Data Analysis > Sampling