{"paper":{"title":"On importance sampling and independent Metropolis-Hastings with an unbounded weight function","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":["stat.ME","stat.TH"],"primary_cat":"math.ST","authors_text":"El Mahdi Khribch (ESSEC Business School), George Deligiannidis (University of Oxford), Guanyang Wang (Rutgers University), Pierre E. Jacob (ESSEC Business School)","submitted_at":"2024-11-14T15:26:53Z","abstract_excerpt":"Importance sampling and independent Metropolis-Hastings are among the fundamental building blocks of Monte Carlo methods. Both require a proposal distribution that globally approximates the target distribution, and pointwise evaluation of the Radon-Nikodym derivative of the target distribution relative to the proposal, also called the weight function. We study the bias of importance sampling and independent Metropolis-Hastings, without assuming that the weight function is bounded. We show that the common random numbers coupling of independent Metropolis-Hastings is maximal. Using that coupling"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2411.09514","kind":"arxiv","version":3},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2411.09514/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}