Monte Carlo estimation of the density of the sum of dependent random variables

Patrick Laub, Robert Salomone and Zdravko I. Botev

Mathematics and Computers in Simulation (MATCOM), 2019, vol. 161, issue C, 23-31

Abstract: We study an unbiased estimator for the density of a sum of random variables that are simulated from a computer model. A numerical study on examples with copula dependence is conducted where the proposed estimator performs favorably in terms of variance compared to other unbiased estimators. We provide applications and extensions to the estimation of marginal densities in Bayesian statistics and to the estimation of the density of sums of random variables under Gaussian copula dependence.

Keywords: Density estimation; Sensitivity estimator; Conditional Monte Carlo; Sums of random variables; Likelihood ratio method (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:161:y:2019:i:c:p:23-31

DOI: 10.1016/j.matcom.2018.12.001

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