A random-discretization based Monte Carlo sampling method and its applications

DOI10.1023/A:1015790929604MaRDI QIDQ1610847zbMATH OpenOpenAlexFDO

Authors James C. Fu, Liqun Wang

Publication date 20 August 2002

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1015790929604

zbMATH Keywords

contourizationhigh dimensional problemintegrationinverse probability integral transformationmaximum likelihood estimationMonte Carlo samplingmultivariate probability distributionsrandom discretization

Mathematics Subject Classification ID

Bayesian inference (62F15) Bootstrap, jackknife and other resampling methods (62F40) Monte Carlo methods (65C05)

Review text

A simple numerical sampling based method is proposed. It is based on random discretization of probability density function with respect to Lebesgue measure and a multivariate version of the inverse probability integral transformation. It requires only the knowledge of the functional form of the density function. Therefore, it is dimension-free, non-iterative and applicable to many multivariate probability distributions. Four simple examples of two or three dimensional problems, two benchmark examples of maximum likelihood estimation and three examples relating to the problem in treating with extremely low probability measure are presented for illustration.

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(16)

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Uses Software

• AS 195

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