Li, Wentao; Tan, Zhiqiang; Chen, Rong - In: Journal of the American Statistical Association 108 (2013) 504, pp. 1350-1365
For importance sampling (IS), multiple proposals can be combined to address different aspects of a target distribution. There are various methods for IS with multiple proposals, including Hesterberg's stratified IS estimator, Owen and Zhou's regression estimator, and Tan's maximum likelihood...