Better Confidence Intervals for Importance Sampling
It is well known that for highly skewed distributions the standard method of using the t statistic for the confidence interval of the mean does not give robust results. This is an important problem for importance sampling (IS) as its final distribution is often skewed due to a heavy tailed weight di...
| Main Authors: | , , |
|---|---|
| Format: | Others |
| Language: | en |
| Published: |
WU Vienna University of Economics and Business
2010
|
| Subjects: | |
| Online Access: | http://epub.wu.ac.at/3017/1/techreport%2D106.pdf |