Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces

Luc Bauwens, Charles Bos and Herman van Dijk

No 98-071/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: This discussion paper resulted in a publication in: (W. Jansen and J.G. Bethlehem eds.) 'Compstat 2000, Statistics Netherlands', 2000, pages 13-14.

Adaptive Polar Sampling is proposed as an algorithm where random drawings aredirectly generated from the target function (posterior) in all-but-onedirections of the parameter space. The method is based on the mixed integrationtechnique of Van Dijk, Kloek & Boender (1985) but extends this one by replacingthe one-dimensional quadrature step by Monte Carlo simulation from thisone-dimensional distribution function. The method is particularly suited for the analysis of ill-behaved surfaces. Anillustrative example shows the feasibility of the algorithm.

Keywords: Markov Chain Monte Carlo sampling; Ill-behaved surfaces; Polar coordinates (search for similar items in EconPapers)
Date: 1998-07-09
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Related works:
Working Paper: Adaptive polar sampling: a new MC technique for the analysis of ill behaved surfaces (1998)
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