Importance Sampling to Accelerate the Convergence of Quasi-Monte Carlo
Importance sampling is a well known variance reduction technique for Monte Carlo simulation. For quasi-Monte Carlo integration with low discrepancy sequences it was neglected in the literature although it is easy to see that it can reduce the variation of the integrand for many important integration...
| Main Authors: | , |
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| Format: | Others |
| Language: | en |
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Department of Statistics and Mathematics, WU Vienna University of Economics and Business
2007
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| Online Access: | http://epub.wu.ac.at/284/1/document.pdf |