INTERPOLATION, QUADRATURE, AND STOCHASTIC INTEGRATION

Lung-Fei Lee ()

Econometric Theory, 2001, vol. 17, issue 05, pages 933-961

Abstract: This paper considers features in numerical and stochastic integration approaches for the evaluation of analytically intractable integrals. It provides a unification of these two approaches. Some important features in quadrature formulations, namely, interpolation and region partition, can provide a valuable device for the design of a stochastic simulator. An interpolating function can be used as a valuable control variate for variance reduction in simulation. We illustrate possible variance reduction by some numerical cases with Gaussian quadrature. The resulting simulator may also be regarded as a monitor of the approximation error of a quadrature.

Date: 2001

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:17:y:2001:i:05:p:933-961_17

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