EXPERIMENTS WITH SOME ALTERNATIVES FOR SIMPLE IMPORTANCE SAMPLING IN MONTE CARLO INTEGRATION

Herman van Dijk and T. Kloek

No 272281, Econometric Institute Archives from Erasmus University Rotterdam

Abstract: Some alternatives for simple importance sampling [compare Kloek and van Dijk (1978) and van Dijk and Kloek (1980)] are investigated for the compu— tation of posterior moments and densities. An importance sampling method that is based on a mixture of a finite number of multivariate normal densities is compared with simple importance sampling and with a method that is based on a combination of Monte Carlo and classical numerical integration. These methods are intended to handle econometric applications where a simple importance function that is a reasonable approximation to the posterior density is difficult to find. For illustrative purposes use is made of a small econometric model. The results include bivariate marginal densities of the importance functions and the posterior plotted in three dimensional figures.

Keywords: Agricultural and Food Policy; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 24
Date: 1983-05
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:eureia:272281

DOI: 10.22004/ag.econ.272281

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