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On the Pitfalls of Nested Monte Carlo
[article]
2016
arXiv
pre-print
There is an increasing interest in estimating expectations outside of the classical inference framework, such as for models expressed as probabilistic programs. Many of these contexts call for some form of nested inference to be applied. In this paper, we analyse the behaviour of nested Monte Carlo (NMC) schemes, for which classical convergence proofs are insufficient. We give conditions under which NMC will converge, establish a rate of convergence, and provide empirical data that suggests
arXiv:1612.00951v1
fatcat:52itxlylyrfjdehveh5za2u4lu