The Poisson estimator

Let's say you want to estimate a quantity $\mu$, but you have only access to unbiased estimates of its logarithm, i.e., $\log\mu$. Can you obtain an unbiased estimate of $\mu$?

An $L_2$ bound for Perfect Monte Carlo

Suppose that you sample from a probability measure $\pi$ to estimate the expectation $\pi(f) := \int f(x) \pi(\mbox{d}x)$ and formed an estimate $\pi^N(f)$. How close are you to the true expectation $\pi(f)$?

Monte Carlo as Intuition

Suppose we have a continuous random variable $X \sim p(x)$ and we would like to estimate its tail probability, i.e. the probability of the event $\{X \geq t\}$ for some $t \in \mathbb{R}$. What is the most intuitive way to do this?

Sequential importance sampling-resampling

Introduction

In this post, I review the sequential importance sampling-resampling for state space models. These algorithms are also known as particle filters. I give a derivation of these filters and their application to the general state space models.

Importance sampling

Introduction

This simple note reviews the importance sampling. This discussion is adapted from here and here.