Posts Tagged ‘ infinite variance estimators ’

IS vs. self-normalised IS

March 11, 2012
IS vs. self-normalised IS

I was grading my Master projects this morning and came upon this graph: which compares the variability of an importance-sampling estimator versus its self-normalised alternative… This is an interesting case in that self-normalisation does considerably degrade the quality of the approximation in that setting. In other cases, self-normalisation may bring a clear improvement. (This reminded

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