Quasi Importance Sampling

Wolfgang Hörmann, Josef Leydold

Publikation: Working/Discussion PaperWU Working Paper

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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)
OriginalspracheEnglisch
ErscheinungsortVienna
HerausgeberDepartment of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business
PublikationsstatusVeröffentlicht - 2005

Publikationsreihe

NamePreprint Series / Department of Applied Statistics and Data Processing
Nr.57

WU Working Paper Reihe

  • Preprint Series / Department of Applied Statistics and Data Processing

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