A nonparametric importance sampling estimator for moment independent importance measures
نویسندگان
چکیده
منابع مشابه
Generalized moment-independent importance measures based on Minkowski distance
Importance measures have been widely studied and applied in reliability and safety engineering. This paper presents a general formulation of moment-independent importance measures and several commonly discussed importance measures are unified based on Minkowski distance (MD). Moment-independent importance measures can be categorized into three classes of MD importance measures, i.e. probability...
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The Effective Sample Size (ESS) is an important measure of efficiency of Monte Carlo methods such as Markov Chain Monte Carlo (MCMC) and Importance Sampling (IS) techniques. In the IS context, an approximation ÊSS of the theoretical ESS definition is widely applied, involving the inverse of the sum of the squares of the normalized importance weights. This formula, ÊSS, has become an essential p...
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ژورنال
عنوان ژورنال: Reliability Engineering & System Safety
سال: 2019
ISSN: 0951-8320
DOI: 10.1016/j.ress.2018.02.009