Why do sampling and estimating the normalizing constant avoid each other? —
We want to get samples from $p(\mathbf{x})$, exactly or approximately. Except for some cases (and for inverse transform sampling), in general, it does not matter at all whether we know the normalizing constant of $p$, i.…

Simple Monte Carlo is independent of dimension. Or is it ? —
* IMPORTANT NOTE: there was a bug in the original example, thanks to Philipp Hennig for pointing it out. I show a (much) simpler one below also (when the test function is the product of coordinates) *…

Combining independent and unbiased estimators —
I came across this 1.25 page paper by Don Rubin and Sanford Weisberg (Rubin & Weisberg) in Biometrika from 1975.…

Sequential Monte Carlo and Improved Auxiliary Particle Filters —
In this post, my aims are:
Introduce Bayesian inference in state space models Introduce approximate inference using importance sampling, in state space models.…