Corpus ID: 88513033

Consistency of the Adaptive Multiple Importance Sampling

@article{Marin2012ConsistencyOT,
  title={Consistency of the Adaptive Multiple Importance Sampling},
  author={J. Marin and P. Pudlo and Mohammed Sedki University Montpellier 2 - I3M and Inra - Cbgp and U. P. -. Cresp},
  journal={arXiv: Computation},
  year={2012}
}
  • J. Marin, P. Pudlo, +2 authors U. P. -. Cresp
  • Published 2012
  • Mathematics
  • arXiv: Computation
  • Among Monte Carlo techniques, the importance sampling requires fine tuning of a proposal distribution, which is now fluently resolved through iterative schemes. The Adaptive Multiple Importance Sampling (AMIS) of Cornuet et al. (2012) provides a significant improvement in stability and effective sample size due to the introduction of a recycling procedure. However, the consistency of the AMIS estimator remains largely open. In this work we prove the convergence of the AMIS, at a cost of a… CONTINUE READING

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