STATISTICS SEMINAR SERIES :: Efficient Importance Sampling for Events of Moderate Deviations with Applicartions

GUEST LECTURER
Cheng-Der Fuh

AFFILIATION
Institute of Statistical Science, Academia Sinica, Taipei

ABSTRACT
After a brief introduction of importance sampling, we propose a method for finding the alternative distribution in the family of normal random variables. The alternative distribution is optimal in the sense that the asymptotic variance is minimized for estimating tail probabilities of asymptotically normal statistics. Our contribution to importance sampling is three-fold. To begin with, we obtain an explicit expression for the mean of the optimal alternative distribution and the expression motivates a recursive approximation algorithm. Secondly, a new multidimensional exponential tilting formula is presented. Lastly, a conservative estimator of the variance is given to facilitate a quick comparison among different stratified sampling schemes in conjunction with importance sampling. Several numerical examples illustrating the efficacy of the proposed method are also included. These results indicate that the proposed method is considerably more efficient than the method based on large deviations theory and the efficiency gain is more significant in higher dimensions.

This talk is based on a joint work with Inchi Hu.

DATE & TIME
Wednesday, October 19, 2005 -- 11:00 AM

DURATION
1 hour

LOCATION
Groseclose 303

CONTACT PERSON
Ming Yuan