2003
DOI: 10.1111/1467-9469.00360
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Improved Sampling‐Importance Resampling and Reduced Bias Importance Sampling

Abstract: The sampling-importance resampling (SIR) algorithm aims at drawing a random sample from a target distribution π. First, a sample is drawn from a proposal distribution "q", and then from this a smaller sample is drawn with sample probabilities proportional to the importance ratios π/"q". We propose here a simple adjustment of the sample probabilities and show that this gives faster convergence. The results indicate that our version converges better also for small sample sizes. The SIR algorithms are compared wi… Show more

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Cited by 55 publications
(34 citation statements)
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“…Finally, simple re-weighting is difficult or impossible to apply in the context of many purely data-analytic procedures such as multidimensional scaling or hierarchical clustering. Simulated Importance Resampling [34] provides a useful alternative for RWRW samples, but suffers from well-known problems of asymptotic bias (see [35] for a discussion and some palliatives). This is of less concern for applications such as moment estimation, for which reweighting is both simple and effective.…”
Section: Findings and Practical Recommendationsmentioning
confidence: 99%
“…Finally, simple re-weighting is difficult or impossible to apply in the context of many purely data-analytic procedures such as multidimensional scaling or hierarchical clustering. Simulated Importance Resampling [34] provides a useful alternative for RWRW samples, but suffers from well-known problems of asymptotic bias (see [35] for a discussion and some palliatives). This is of less concern for applications such as moment estimation, for which reweighting is both simple and effective.…”
Section: Findings and Practical Recommendationsmentioning
confidence: 99%
“…Finally, simple re-weighting is difficult or impossible to apply in the context of many purely data-analytic procedures such as multidimensional scaling or hierarchical clustering. Simulated Importance Resampling [66] provides a useful alternative for RWRW samples, but suffers from well-known problems of asymptotic bias (see [67] for a discussion). This is of less concern for applications such as moment estimation, for which re-weighting is both simple and effective.…”
Section: Findings and Practical Recommendations 1) Choosing Betweementioning
confidence: 99%
“…We sample 500 000 sets of parameters using the Latin Hypercube Sampling technique (Iman and Helton, 1988) to conduct the Monte Carlo simulations. We then use the sampling importance resampling (SIR) technique with the observed carbon fluxes at the selected sites to draw the posterior from the prior SAT-TEM simulations (Skare et al, 2003) and collect 50 000 posterior sets of parameters, which are one-tenth of the prior sample size and are suggested to be able to produce stable results (Green et al, 1999;Tang and Zhuang, 2009). We then divide the errors made by the 50 000 sets of parameters into 50 levels (from the highest error level to the lowest) and sampled 50 sets of parameters, one for each level.…”
Section: Model Parameterization and Applicationmentioning
confidence: 99%