Jinlin Lai

Jinlin Lai

MS/PhD student at University of Massachusetts Amherst

Delta method for important sampling variances

less than 1 minute read

Published:

This post is mainly about one technique I used in my undergraduate dissertation, which mainly follows and slightly extends [1].

Outline:

  • Self-normalized importance sampling (SNIS).
  • Variance estimation for SNIS.
  • Covariance estimation for SNIS.
  • Variance estimation for sum of SNIS estimators.

[1] Owen, A. B. (2013). Monte Carlo theory, methods and examples.