The naive importance sampling (IS) estimator generally does not work well in examples involving simultaneous inference on several targets, as the importance weights can take arbitrarily large values, making the estimator highly unstable. In such situations, alternative multiple IS estimators involving samples from multiple proposal distributions are preferred. Just like the naive IS, the success of these multiple IS estimators crucially depends on the choice of the proposal distributions. The selection of these proposal distributions is the focus of this article. We propose three methods: (i) a geometric space filling approach, (ii) a minimax variance approach, and (iii) a maximum entropy approach. The first two methods are applicable to any IS estimator, whereas the third approach is described in the context of Doss's (2010) two-stage IS estimator. For the first method, we propose a suitable measure of 'closeness' based on the symmetric Kullback-Leibler divergence, while the second and third approaches use estimates of asymptotic variances of Doss's (2010) IS estimator and Geyer's (1994) reverse logistic regression estimator, respectively. Thus, when samples from the proposal distributions are obtained by running Markov chains, we provide consistent spectral variance estimators for these asymptotic variances. The proposed methods for selecting proposal densities are illustrated using various detailed examples.
翻译:天真重要性抽样( IS) 估计器通常在涉及对若干目标同时进行推断的例子中效果不佳,因为重量的份量可以任意地取大值,使估计器高度不稳定。在这种情况下,更喜欢使用包含多个建议分布样本的替代的IS 多重估计器。与天真IS 一样,这些多重IS 估计器的成功与否关键取决于对建议分布的选择。选择这些建议分布是本条款的重点。我们建议了三种方法:(一) 几何空间填充方法,(二) 最小最大差异方法,以及(三) 最大摄取方法。在这类情况下,前两种方法适用于任何IS 估计器,而第三种方法则在Dos (2010年) 两阶段的测试器中描述。关于第一个方法,我们建议根据对称的库列回- 利伯尔差异来适当衡量“ ” 。我们提出三种方法:(一) 几何空间填充方法,(二) 几何空间填充法,(二) 迷你最大差异法, 和(三) 最大摄取法方法。前两种方法适用于任何一种IS 估法, 而第三个方法适用于任何一种IS 估量分析器( 2010) ISest 样分析器) 使用这些分析器, 使用这些分析器, 用于这些分析器, 这些分析器, 使用这些分析器的顺序式分析器, 使用这些分析器, 使用这些分析器, 等的排序法, 用于这些分析器, 等的计算法, 用于这些分析器, 用于这些分析器, 等的顺序式分析器, 。