Stratified Sampling with Spherically Symmetric Importance Samplers

SUMMARY Multivariate normal or Student importance sampling is a commonly used technique for integration problems in statistical inference. This integration approach is easy to implement, has straightforward error estimates and is eeective in a number of problems. A variety of variance reduction techniques can be considered with importance sampling. Stratiied sampling is one of these and in fact, is about the only guaranteed variance reducer. We consider the implemen-taion of stratiied sampling in the context of spherically symmetric importance samplers.