Quasi Importance Sampling

Wolfgang Hörmann, Josef Leydold

Publikation: Working/Discussion PaperWU Working Paper

21 Downloads (Pure)

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)

Publikationsreihe

ReihePreprint Series / Department of Applied Statistics and Data Processing
Nummer57

WU Working Paper Reihe

  • Preprint Series / Department of Applied Statistics and Data Processing

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