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Article
Importance accelerated Robbins-Monro recursion with applications to parametric confidence limits
Electronic Journal of Statistics (2014)
  • Zdravjko I Botev
  • Chris Lloyd, Melbourne Business School
Abstract

Monro (1951) to calculating confidence limits leads to poor efficiency and difficulties in estimating the appropriate governing constants as well as the standard error. We suggest sampling instead from an alternative importance distribu- tion and modifying the Robbins-Monro recursion accordingly. This can reduce the asymptotic variance by the usual importance sampling factor. It also allows the standard error and optimal step length to be estimated from the simulation. The methodology is applied to computing almost exact confidence limits in a generalised linear model.

Publication Date
2014
Citation Information
Zdravjko I Botev and Chris Lloyd. "Importance accelerated Robbins-Monro recursion with applications to parametric confidence limits" Electronic Journal of Statistics (2014)
Available at: http://works.bepress.com/chris_lloyd/32/