Examples comparing importance sampling and the Metropolis algorithm

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Duration: 3 min 30 s
Description: Importance sampling, particularly sequential and adaptive importance sampling, have emerged as competitive simulation techniques to Markov-chain Monte-Carlo techniques. We compare importance sampling and the Metropolis algorithm as two ways of changing the output of a Markov chain to get a different stationary distribution.
Bassetti Federico; Persi Diaconis
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