Seminar: Robust Estimation and Inference for Importance Sampling Estimators with Infinite Variance
We are pleased to announce that Dr Thomas (Tao) Yang, from ANU, will be giving a seminar this Friday 7 September 2018, at Clayton
Importance sampling is a popular Monte Carlo method used in a variety of areas in econometrics. When the variance of the importance sampling estimator is infinite, the central limit theorem does not apply and estimates tend to be erratic even when the simulation size is large. We consider asymptotic trimming in such a setting. Specifically, we propose a bias-corrected tail-trimmed estimator such that it is consistent and has finite variance. We show that the proposed estimator is asymptotically normal, and has good finite-sample properties in a Monte Carlo study.
We look forward to seeing you at the seminar.
The Seminar Series is free of charge. Details of the seminar can be found on the EBS seminars Google calendar and Workplace as well.
For further information please phone 9905 9111
Event Details
- Date:
- 7 September 2018 at 2:00 pm – 3:15 pm
- Venue:
- Clayton Campus, Robert Menzies building, Room E3.65
- Categories:
- General
Description
We are pleased to announce that Dr Thomas (Tao) Yang, from ANU, will be giving a seminar this Friday 7 September 2018, at Clayton
Importance sampling is a popular Monte Carlo method used in a variety of areas in econometrics. When the variance of the importance sampling estimator is infinite, the central limit theorem does not apply and estimates tend to be erratic even when the simulation size is large. We consider asymptotic trimming in such a setting. Specifically, we propose a bias-corrected tail-trimmed estimator such that it is consistent and has finite variance. We show that the proposed estimator is asymptotically normal, and has good finite-sample properties in a Monte Carlo study.
We look forward to seeing you at the seminar.
The Seminar Series is free of charge. Details of the seminar can be found on the EBS seminars Google calendar and Workplace as well.
For further information please phone 9905 9111
Event Contact
- Name
- Natalia.Bailey@monash.edu
- Phone
- 03 9905 9111
- Organisation