Scholars@Duke
Journal cover image

Importance sampling: A review

Publication ,  Journal Article
Tokdar, ST; Kass, RE
Published in: Wiley Interdisciplinary Reviews: Computational Statistics
2010
Published version (DOI)

We provide a short overview of importance sampling - a popular sampling tool used for Monte Carlo computing. We discuss its mathematical foundation and properties that determine its accuracy in Monte Carlo approximations.We review the fundamental developments in designing efficient importance sampling (IS) for practical use. This includes parametric approximation with optimization-based adaptation, sequential sampling with dynamic adaptation through resampling and population-based approaches that make use ofMarkov chain sampling. © 2009 John Wiley & Sons, Inc.

Duke Scholars

Surya Tapas Tokdar
Author Surya Tapas Tokdar Statistical Science
Altmetric Attention Stats
Dimensions Citation Stats

Published In

Wiley Interdisciplinary Reviews: Computational Statistics

DOI

10.1002/wics.56

ISSN

1939-5108

Publication Date

2010

Volume

2

Issue

1

Start / End Page

54 / 60

Related Subject Headings

  • 4905 Statistics
  • 4605 Data management and data science
  • 0802 Computation Theory and Mathematics
  • 0104 Statistics
  • 0102 Applied Mathematics
 

Citation

APA
Chicago
ICMJE
MLA
NLM
Tokdar, S. T., & Kass, R. E. (2010). Importance sampling: A review. Wiley Interdisciplinary Reviews: Computational Statistics, 2(1), 54–60. https://doi.org/10.1002/wics.56
Tokdar, S. T., and R. E. Kass. “Importance sampling: A review.” Wiley Interdisciplinary Reviews: Computational Statistics 2, no. 1 (2010): 54–60. https://doi.org/10.1002/wics.56.
Tokdar ST, Kass RE. Importance sampling: A review. Wiley Interdisciplinary Reviews: Computational Statistics. 2010;2(1):54–60.
Tokdar, S. T., and R. E. Kass. “Importance sampling: A review.” Wiley Interdisciplinary Reviews: Computational Statistics, vol. 2, no. 1, 2010, pp. 54–60. Scival, doi:10.1002/wics.56.
Tokdar ST, Kass RE. Importance sampling: A review. Wiley Interdisciplinary Reviews: Computational Statistics. 2010;2(1):54–60.
Journal cover image

Published In

Wiley Interdisciplinary Reviews: Computational Statistics

DOI

10.1002/wics.56

ISSN

1939-5108

Publication Date

2010

Volume

2

Issue

1

Start / End Page

54 / 60

Related Subject Headings

  • 4905 Statistics
  • 4605 Data management and data science
  • 0802 Computation Theory and Mathematics
  • 0104 Statistics
  • 0102 Applied Mathematics