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Local Adaptive Importance Sampling for Multivariate Densities With Strong Nonlinear Relationships
Geof H. Givens and Adrian E. Raftery
Journal of the American Statistical Association
Vol. 91, No. 433 (Mar., 1996), pp. 132-141
Stable URL: http://www.jstor.org/stable/2291389
Page Count: 10
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We consider adaptive importance sampling techniques that use kernel density estimates at each iteration as importance sampling functions. These can provide more nearly constant importance weights and more precise estimates of quantities of interest than the sampling importance resampling algorithm when the initial importance sampling function is diffuse relative to the target. We propose a new method that adapts to the varying local structure of the target. When the target has unusual structure, such as strong nonlinear relationships between variables, this method provides estimates with smaller mean squared error than alternative methods.
Journal of the American Statistical Association © 1996 American Statistical Association