Consistent estimation of the accuracy of importance sampling using regenerative simulation

2008 ◽  
Vol 78 (15) ◽  
pp. 2522-2527 ◽  
Author(s):  
Sourabh Bhattacharya
Keyword(s):  
Importance Sampling ◽  
Consistent Estimation ◽  
Regenerative Simulation

Real-time Visual Tracking of Multiple Targets Using Bootstrap Importance Sampling

2012 ◽  
Vol 38 (10) ◽  
pp. 1663
Author(s):  
Le-Jun SHEN ◽  
Zhi-Sheng YOU ◽  
Xiao-Feng LI
Keyword(s):  
Real Time ◽  
Importance Sampling ◽  
Visual Tracking ◽  
Multiple Targets

Eliciting Risk Preferences and Elasticity of Substitution

2020 ◽  
Vol 17 (4) ◽  
pp. 314-329
Author(s):  
Johan Burgaard ◽  
Mogens Steffensen
Keyword(s):  
Risk Aversion ◽  
Discount Rate ◽  
Predictive Power ◽  
Recursive Utility ◽  
Risk Averse ◽  
Indirect Utility ◽  
Consistent Estimation ◽  
On Certainty ◽  
Certainty Equivalents ◽  
Elasticity Of Intertemporal Substitution

Risk aversion and elasticity of intertemporal substitution (EIS) are separated via the celebrated recursive utility building on certainty equivalents of indirect utility. Based on an alternative separation method, we formulate a questionnaire for simultaneous and consistent estimation of risk aversion, subjective discount rate, and EIS. From a representative group of 1,153 respondents, we estimate parameters for these preferences and their variability within the population. Risk aversion and the subjective discount rate are found to be in the orders of 2 and 0, respectively, not diverging far away from results from other studies. Our estimate of EIS in the order of 10 is larger than often reported. Background variables like age and income have little predictive power for the three estimates. Only gender has a significant influence on risk aversion in the usually perceived direction that females are more risk-averse than males. Using individual estimates of preference parameters, we find covariance between preferences toward risk and EIS. We present the background reasoning on objectives, the questionnaire, a statistical analysis of the results, and economic interpretations of these, including relations to the literature.

Computation of the Sobol' Indices using Importance Sampling

2014 ◽  
Author(s):  
Pierre Beaurepaire ◽  
Matteo Broggi ◽  
Edoardo Patelli
Keyword(s):  
Importance Sampling ◽  
Sobol Indices

Optimal importance sampling for some quadratic forms of ARMA processes

1995 ◽  
Vol 41 (6) ◽  
pp. 1834-1844 ◽  
Author(s):  
P. Barone ◽  
A. Gigli ◽  
M. Piccioni
Keyword(s):  
Importance Sampling ◽  
Quadratic Forms ◽  
Arma Processes
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