Saturday, February 25 | |
CS22 In THIS Corner: X1! When Model Variables Compete |
Sat, Feb 25, 11:00 AM - 12:30 PM
River Terrace 3 |
Estimating with Weights: Common Sense vs. Unbiasedness (303383)*Tim Hesterberg, GoogleKeywords: Importance sampling, weighted estimation, sensitivity analysis, bias correction I'll talk about estimating with weights - how conventional wisdom and common sense conflict (the usual unbiased importance sampling estimate, and normalizing the weights, respectively), and a better estimate than both. This leads to an interesting connection between regression and weighted estimation. I'll talk about two other aspects of importance sampling - strategies for effective sampling when you can choose how to sample, and how to use weights for sensitivity analysis.
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