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August, 1993 Importance Sampling for Gibbs Random Fields
Paolo Baldi, Arnoldo Frigessi, Mauro Piccioni
Ann. Appl. Probab. 3(3): 914-933 (August, 1993). DOI: 10.1214/aoap/1177005372

Abstract

This existence of an asymptotically efficient importance sampling distribution for estimating small probabilities of statistics of Gibbs random fields is proved, together with its uniqueness, in an appropriate sense. This distribution is also a Gibbs random field associated with an interaction potential that is explicitly given. The particular case of Markov chains is treated. The practical relevance of the results in applications is discussed.

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Paolo Baldi. Arnoldo Frigessi. Mauro Piccioni. "Importance Sampling for Gibbs Random Fields." Ann. Appl. Probab. 3 (3) 914 - 933, August, 1993. https://doi.org/10.1214/aoap/1177005372

Information

Published: August, 1993
First available in Project Euclid: 19 April 2007

zbMATH: 0780.60047
MathSciNet: MR1233634
Digital Object Identifier: 10.1214/aoap/1177005372

Subjects:
Primary: 60G60
Secondary: 60F10 , 62G20 , 65C05

Keywords: Asymptotic efficiency , Large deviations for Gibbs random fields , Monte Carlo methods , Rare events , variance reduction techniques

Rights: Copyright © 1993 Institute of Mathematical Statistics

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Vol.3 • No. 3 • August, 1993
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