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New Importance Sampling Densities

Hörmann, Wolfgang (2005) New Importance Sampling Densities. Preprint Series / Department of Applied Statistics and Data Processing, 56. Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna.

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To compute the expectation of a function with respect to a multivariate distribution naive Monte Carlo is often not feasible. In such cases importance sampling leads to better estimates than the rejection method. A new importance sampling distribution, the product of one-dimensional table mountain distributions with exponential tails, turns out to be flexible and useful for Bayesian integration problems. To obtain a heavy-tailed importance sampling distribution a new radius transform for the above distribution is suggested. Together with a linear transform the new importance sampling distributions lead to simple and fast integration algorithms with reliable error bounds. (author's abstract)

Item Type: Paper
Keywords: Monte Carlo method / importance sampling / rejection method / Bayesian models
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 10 Jul 2006 15:52
Last Modified: 14 Sep 2010 20:29
URI: http://epub.wu.ac.at/id/eprint/1066


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