Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods

DOI10.1016/j.jeconom.2003.12.002zbMath1085.62028MaRDI QIDQ1886281

Luc Bauwens, Hermann K. Van Dijk, Charles S. Bos, Rutger D. van Oest

Publication date: 18 November 2004

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://repub.eur.nl/pub/1722

zbMATH Keywords

Markov chain Monte Carlo; Importance sampling; Radial coordinates

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62F15: Bayesian inference

65C40: Numerical analysis or methods applied to Markov chains

Related Items

Bayesian inference for the mixed conditional heteroskedasticity model, Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods, A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood

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