Quasi Importance Sampling

Wolfgang Hörmann, Josef Leydold

Publication: 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)
Original languageEnglish
Place of PublicationVienna
PublisherDepartment of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business
Publication statusPublished - 2005

Publication series

NamePreprint Series / Department of Applied Statistics and Data Processing
No.57

WU Working Paper Series

  • Preprint Series / Department of Applied Statistics and Data Processing

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