New Importance Sampling Densities
To compute the expectation of a function with respect to a multivariate distribution naive Monte Carlo is often not feasible. In such cases importance sampling leads to better estimates than the rejection method. A new importance sampling distribution, the product of one-dimensional table mountain d...
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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/1066/1/document.pdf |