Tag: Importance Sampling
Exponential Twisting in Importance Sampling
This note is based on Ma, J., Du, K., & Gu, G. (2019). An efficient exponential twisting importance sampling technique for pricing financial derivatives. Communications in Statistics - Theory and Methods, 48(2), 203–219.
- Calculating Marginal likelihood
Annealed Importance Sampling
This is the note for Neal, R. M. (1998). Annealed Importance Sampling. ArXiv:Physics/9803008.
- The Applications of Monte Carlo
- Adaptive Importance Sampling
An Illustration of Importance Sampling
This report shows how to use importance sampling to estimate the expectation.