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Quasi Importance Sampling

Hörmann, Wolfgang and Leydold, Josef (2005) Quasi Importance Sampling. Preprint Series / Department of Applied Statistics and Data Processing, 57. Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna.

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Abstract

There arise two problems when the expectation of some function with respect to a nonuniform multivariate distribution has to be computed by (quasi-) Monte Carlo integration: the integrand can have singularities when the domain of the distribution is unbounded and it can be very expensive or even impossible to sample points from a general multivariate distribution. We show that importance sampling is a simple method to overcome both problems. (author's abstract)

Item Type: Paper
Keywords: quasi-Monte Carlo method / nonuniform random variate generation / inversion method / importance sampling / Markov chain Monte Carlo
Classification Codes: MSC 65C05, 65C10, 65D32
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 10 Jul 2006 15:55
Last Modified: 18 Jun 2011 02:21
URI: http://epub.wu.ac.at/id/eprint/1394

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