Bayesian Integration Using Multivariate Student Importance Sampling
نویسندگان
چکیده
Multivariate Student importance sampling is a commonly used technique for Bayesian integration problems. For many problems, for example, when the inte-grand has ellipsoidal symmetry, it is a feasible and perhaps preferable, integration strategy. It is widely recognized , however, that the methodology suuers from limitations. We examine the methodology in conjunction with various variance reduction techniques; e.g. control variates, stratiied sampling and systematic sampling, to determine what improvements can be achieved.
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