Small-sample behavior of importance sampling estimators
Abstract/Contents
- Abstract
- This thesis studies the small sample behavior of importance sampling estimators under an importance measure that is not necessarily optimal. We first study the asymptotic behavior of IS estimators for sums of random variables when the sample size increases exponentially. We next propose logarithmic relative accuracy as a new measure for estimator accruacy. Finally, we extend the result to the importance sampling estiamtors for slow Markov random walks.
Description
| Type of resource | text |
|---|---|
| Form | electronic; electronic resource; remote |
| Extent | 1 online resource. |
| Publication date | 2012 |
| Issuance | monographic |
| Language | English |
Creators/Contributors
| Associated with | Choi, Jihye |
|---|---|
| Associated with | Stanford University, Department of Electrical Engineering |
| Primary advisor | Glynn, Peter W |
| Thesis advisor | Glynn, Peter W |
| Thesis advisor | Bambos, Nicholas |
| Thesis advisor | Giesecke, Kay |
| Advisor | Bambos, Nicholas |
| Advisor | Giesecke, Kay |
Subjects
| Genre | Theses |
|---|
Bibliographic information
| Statement of responsibility | Jihye Choi. |
|---|---|
| Note | Submitted to the Department of Electrical Engineering. |
| Thesis | Thesis (Ph.D.)--Stanford University, 2012. |
| Location | electronic resource |
Access conditions
- Copyright
- © 2012 by Jihye Choi
- License
- This work is licensed under a Creative Commons Attribution Non Commercial 3.0 Unported license (CC BY-NC).
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