The paper proves that the common-draws coupling of independent Metropolis-Hastings is maximal under finite p-th moment weights, derives polynomial total-variation bounds, and builds unbiased self-normalized importance sampling estimators with the same asymptotic efficiency as standard importance…
(b) Compute the weight: wj = 1 (ˆσ2 j + ˜σ2)a/2
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On importance sampling and independent Metropolis-Hastings with an unbounded weight function
The paper proves that the common-draws coupling of independent Metropolis-Hastings is maximal under finite p-th moment weights, derives polynomial total-variation bounds, and builds unbiased self-normalized importance sampling estimators with the same asymptotic efficiency as standard importance…