Electronic Journal of Statistics
- Electron. J. Statist.
- Volume 13, Number 2 (2019), 3386-3423.
Importance sampling and its optimality for stochastic simulation models
We consider the problem of estimating an expected outcome from a stochastic simulation model. Our goal is to develop a theoretical framework on importance sampling for such estimation. By investigating the variance of an importance sampling estimator, we propose a two-stage procedure that involves a regression stage and a sampling stage to construct the final estimator. We introduce a parametric and a nonparametric regression estimator in the first stage and study how the allocation between the two stages affects the performance of the final estimator. We analyze the variance reduction rates and derive oracle properties of both methods. We evaluate the empirical performances of the methods using two numerical examples and a case study on wind turbine reliability evaluation.
Electron. J. Statist., Volume 13, Number 2 (2019), 3386-3423.
Received: October 2018
First available in Project Euclid: 25 September 2019
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Chen, Yen-Chi; Choe, Youngjun. Importance sampling and its optimality for stochastic simulation models. Electron. J. Statist. 13 (2019), no. 2, 3386--3423. doi:10.1214/19-EJS1604. https://projecteuclid.org/euclid.ejs/1569377057