checking for finite variance of importance samplers

June 10, 2014

(This article was first published on Xi'an's Og » R, and kindly contributed to R-bloggers)

divergenceOver a welcomed curry yesterday night in Edinburgh I read this 2008 paper by Koopman, Shephard and Creal, testing the assumptions behind importance sampling, which purpose is to check on-line for (in)finite variance in an importance sampler, based on the empirical distribution of the importance weights. To this goal, the authors use the upper tail  of the weights and a limit theorem that provides the limiting distribution as a type of Pareto distribution

\dfrac{1}{\beta}\left(1+\xi z/\beta \right)^{-1-1/\xi}

over (0,∞). And then implement a series of asymptotic tests like the likelihood ratio, Wald and score tests to assess whether or not the power ξ of the Pareto distribution is below ½. While there is nothing wrong with this approach, which produces a statistically validated diagnosis, I still wonder at the added value from a practical perspective, as raw graphs of the estimation sequence itself should exhibit similar jumps and a similar lack of stabilisation as the ones seen in the various figures of the paper. Alternatively, a few repeated calls to the importance sampler should disclose the poor convergence properties of the sampler, as in the above graph. Where the blue line indicates the true value of the integral.

Filed under: R, Statistics, Travel, University life Tagged: Abraham Wald, curry, Edinburgh, extreme value theory, importance sampling, infinite variance estimators, Pareto distribution, score function, Scotland

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