Adaptive Importance Sampling in General Mixture Classes

In this paper, we propose an adaptive algorithm that iteratively updates both the weights and component parameters of a mixture importance sampling density so as to optimise the importance sampling performances, as measured by an entropy criterion. The method is shown to be applicable to a wide class of importance sampling densities, which includes in particular mixtures of multivariate Student t distributions. The performances of the proposed scheme are studied on both artificial and real examples, highlighting in particular the benefit of a novel Rao-Blackwellisation device which can be easily incorporated in the updating scheme.Comment: Removed misleading comment in Section

Importance Sampling and Stratification for Copula Models

An importance sampling approach for sampling from copula models is introduced. The proposed algorithm improves Monte Carlo estimators when the functional of interest depends mainly on the behaviour of the underlying random vector when at least one of its components is large. Such problems often arise from dependence models in finance and insurance. The importance sampling framework we propose is particularly easy to implement for Archimedean copulas. We also show how the proposal distribution of our algorithm can be optimized by making a connection with stratified sampling. In a case study inspired by a typical insurance application, we obtain variance reduction factors sometimes larger than 1000 in comparison to standard Monte Carlo estimators when both importance sampling and quasi-Monte Carlo methods are used.NSERC, Grant 238959 NSERC, Grant 501

A Biopersistence Study following Exposure to Chrysotile Asbestos Alone or in Combination with Fine Particles

In designing a study to evaluate the inhalation biopersistence of a chrysotile asbestos that was used as a component of a joint-compound, a feasibility study was initiated to evaluate the short-term biopersistence of the chrysotile alone and of the chrysotile in combination witht the sanded reformulated joint-compound. Two groups of Wistar rats were exposed to either 7RF3 chrysotile (Group 2) or to 7RF3 chrysotile combined with aerosolized sanded joint-compound (Group 3). In addition, a control group was exposed to flltered-air. The chrysotile used in the Ready Mix joint compound is rapidly removed from the lung. The chrysotile alone exposure group had a clearance half-time of fibers L > 20 μm of 2.2 days; in the chrysotile plus sanded exposure group the clearance half-time of fibers L > 20 μm was 2.8 days. However, across all size ranges there was approximately an order of magnitude decrease in the mean number of fibers remaining in the lungs of Group 3 as compared to Group 2 despite similiar aerosol exposures. Histopathological examination showed that the chrysotile exposed lungs had the same appearance as the flltered-air controls. This study uniquely illustrates that additional concurrent exposure to an aerosol of the sanded joint-compound, with large numbers of fine-particles depositing in the lungs, accelerates the recruitment of macrophages, resulting in a tenfold decrease in the number of fibers remaining in the lung. The increased number of macrophages in the chrysotile/sanded joint exposure group was confirmed histologically, with this being the only exposure-related histological finding reported