All Questions
Tagged with importance-sampling r
8 questions
3
votes
1
answer
324
views
Compute the inverse of a conditional quantile regression output
Brunello et al (2009) show that extended compulsory schooling leads to increased wages respectivly to the individual gender. Their empirical model first uses quantile regression to show the impact of ...
- 90
2
votes
3
answers
409
views
Importance sampling - approximation of an integral in R [closed]
So I am given this integral $$\mathrm{I}=\int_{38}^{\infty} \mathrm{f}(\mathrm{x}) \mathrm{d} \mathrm{x}=\int_{38}^{\infty} \mathrm{e}^{-\mathrm{x}} \mathrm{x}^{2} \mathrm{dx}$$
and i am also given ...
3
votes
1
answer
153
views
Estimate default by importance sampling (using R)
I want to use Importance sampling to estimate probability of default of an insurance company within the next $t$ years. The company starts with capital $C$ at $t=0$. Each year it gains $p > 0$ ...
- 1,035
9
votes
1
answer
547
views
Lower than expected coverage for importance sampling with simulation
I was trying to answer the question Evaluate integral with Importance sampling method in R. Basically, the user needs to calculate
$$\int_{0}^{\pi}f(x)dx=\int_{0}^{\pi}\frac{1}{\cos(x)^2+x^2}dx$$
...
- 18.4k
3
votes
0
answers
442
views
Simple importance sampling example: What am I doing wrong?
I am learning about importance sampling and trying undertake importance sampling on a trivial example, but failing to get the right answer. I have read various PDFs online, and the relevant section of ...
- 41
5
votes
1
answer
420
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understanding proposal distribution sequential importance sampling in R
From the article of wikipedia
http://en.wikipedia.org/wiki/Particle_filter
I see that one generate samples from the proposal $\pi(x_k^{(L)}\vert x_{o:k-1}^{(L)},y_{1:k})$, however, the role of $y_{1:...
- 497
7
votes
1
answer
6k
views
Importance Sampling to evaluate integral in R
I have asked the question here also.
However, there might be something wrong with my theoretical understanding hence I'm asking here as it is more relevant. Kindly do not diss without looking first.
...
- 185
1
vote
0
answers
323
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Importance Sampling MC - a couple of questions regarding PDF
I implore the good people to quickly glance through this thread over at StackOverflow to get a better idea of my question if the following isn't clear.
I have these integrals to evaluate using ...
- 185