Monte Carlo Integration Using Importance Sampling and Gibbs Sampling
To evaluate the expectation of a simple function with respect to a complicated multivariate density Monte Carlo integration has become the main technique. Gibbs sampling and importance sampling are the most popular methods for this task. In this contribution we propose a new simple general purpose i...
| Main Authors: | , |
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| Format: | Others |
| Language: | en |
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Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business
2005
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| Online Access: | http://epub.wu.ac.at/1642/1/document.pdf |