English, Article, Journal or magazine article edition: Simulated Maximum Likelihood using Tilted Importance Sampling Christian N. Brinch

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/41353
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Simulated Maximum Likelihood using Tilted Importance Sampling
Author
  • Christian N. Brinch
Physical Description
  • preprint
Notes
  • This paper develops the important distinction between tilted and simple importance sampling as methods for simulating likelihood functions for use in simulated maximum likelihood. It is shown that tilted importance sampling removes a lower bound to simulation error for given importance sample size that is inherent in simulated maximum likelihood using simple importance sampling, the main method for simulating likelihood functions in the statistics literature. In addition, a new importance sampling technique, generalized Laplace importance sampling, easily combined with tilted importance sampling, is introduced. A number of applications and Monte Carlo experiments demonstrate the power and applicability of the methods. As an example, simulated maximum likelihood estimates from the infamous salamander mating model from McCullagh and Nelder (1989) can be found to easily satisfactory precision with an importance sample size of 100.
  • Simulation based estimation; importance sampling.
  • RePEc:ssb:dispap:540
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment