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) / Series: Preprint Series / Department of Applied Statistics and Data Processing
Identifer | oai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:epub-wu-01_9fe |
Date | January 2005 |
Creators | Hörmann, Wolfgang, Leydold, Josef |
Publisher | Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business |
Source Sets | Wirtschaftsuniversität Wien |
Language | English |
Detected Language | English |
Type | Working Paper, NonPeerReviewed |
Format | application/pdf |
Relation | http://epub.wu.ac.at/1394/ |
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