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A theory of statistical models for Monte Carlo integration

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Abstract:

Summary.

The task of estimating an integral by Monte Carlo methods is formulated as a statistical model using simulated observations as data. The difficulty in this exercise is that we ordinarily have at our disposal all of the information required to compute integrals exactly by calculus or numerical integration, but we choose to ignore some of the information for simplicity or computational feasibility. Our proposal is to use a semiparametric statistical model that makes explicit what information is ignored and what information is retained. The parameter space in this model is a set of measures on the sample space, which is ordinarily an infinite dimensional object. None-the-less, from simulated data the base-line measure can be estimated by maximum likelihood, and the required integrals computed by a simple formula previously derived by Vardi and by Lindsay in a closely related model for biased sampling. The same formula was also suggested by Geyer and by Meng and Wong using entirely different arguments. By contrast with Geyer's retrospective likelihood, a correct estimate of simulation error is available directly from the Fisher information. The principal advantage of the semiparametric model is that variance reduction techniques are associated with submodels in which the maximum likelihood estimator in the submodel may have substantially smaller variance than the traditional estimator. The method is applicable to Markov chain and more general Monte Carlo sampling schemes with multiple samplers.

Keywords: Biased sampling model; Bridge sampling; Control variate; Exponential family; Generalized inverse; Importance sampling; Invariant measure; Iterative proportional scaling; Log-linear model; Markov chain Monte Carlo methods; Multinomial distribution; Normalizing constant; Retrospective likelihood; Semiparametric model

Document Type: Research Article

DOI: http://dx.doi.org/10.1111/1467-9868.00404

Affiliations: 1: deCODE Genetics, Reykjavik, Iceland 2: University of Chicago, USA 3: Harvard University, Cambridge, USA

Publication date: August 1, 2003

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