Stability of Algorithms in Statistical Modeling

Alexander A. Kronberg and Tatiana K. Kronberg

A chapter in Applied Probability Theory - New Perspectives, Recent Advances and Trends from IntechOpen

Abstract: In this paper, we investigate algorithms stability for calculation of multidimensional integrals using the statistical modeling methods. We considered issues of the algorithms optimization and we give sufficient conditions for the stability. We apply our approach to both calculation of integral from the regression function and the moments integral calculation. In all our numerical experiences, we used the mt19937 pseudorandom number generator.

Keywords: statistical modeling; pseudorandom numbers; optimal density; integral estimation; Monte Carlo methods (search for similar items in EconPapers)
JEL-codes: C25 C83 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ito:pchaps:284791

DOI: 10.5772/intechopen.106136

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