Pareto Smoothed Importance Sampling. (arXiv:1507.02646v8 [stat.CO] UPDATED)

Importance weighting is a general way to adjust Monte Carlo integration to
account for draws from the wrong distribution, but the resulting estimate can
be highly variable when the importance ratios have a heavy right tail. This
routinely occurs when there are aspects of the target distribution that are not
well captured by the approximating distribution, in which case more stable
estimates can be obtained by modifying extreme importance ratios. We present a
new method for stabilizing importance weights using …

arxiv importance sampling