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- W2059794901 abstract "The Monte Carlo method gives some estimators to evaluate the expectation [ILM0001] based on samples from either the true density f or from some instrumental density. In this paper, we show that the Riemann estimators introduced by Philippe (1997) can be improved by using the importance sampling method. This approach produces a class of Monte Carlo estimators such that the variance is of order O(n −2). The choice of an optimal estimator among this class is discussed. Some simulations illustrate the improvement brought by this method. Moreover, we give a criterion to assess the convergence of our optimal estimator to the integral of interest." @default.
- W2059794901 created "2016-06-24" @default.
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- W2059794901 date "2000-01-01" @default.
- W2059794901 modified "2023-10-18" @default.
- W2059794901 title "Optimal estimators for the importance sampling method" @default.
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- W2059794901 doi "https://doi.org/10.1080/03610910008813604" @default.
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