A 1-1 poly-t random variable generator with application to Monte Carlo integration

DOI10.1016/0304-4076(85)90031-4zbMath0586.65002OpenAlexW1981227658MaRDI QIDQ1071467

Luc Bauwens, Jean-Francois Richard

Publication date: 1985

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(85)90031-4

zbMATH Keywords

pseudorandom generatorsmultiple integralsmouthfulpoly-t densities

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical quadrature and cubature formulas (65D32)

Related Items (6)

Adaptive importance sampling in monte carlo integration ⋮ Antithetic acceleration of Monte Carlo integration in Bayesian inference ⋮ SISAM and MIXIN: Two algorithms for the computation of posterior moments and densities using Monte Carlo integration ⋮ BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION ⋮ A Bayesian analysis of simultaneous equation models by combining recursive analytical and numerical approaches ⋮ GIBBS SAMPLERS FOR A SET OF SEEMINGLY UNRELATED REGRESSIONS

Cites Work

• Bayesian full information analysis of simultaneous equation models using integration by Monte Carlo
• On the evaluation of poly-t density functions
• New methods for generating Student's t and gamma variables
• Bayesian regression analysis using poly-t densities
• Bayesian Limited Information Analysis of the Simultaneous Equations Model
• Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo
• Gaussian Numerical Integration of a Function Depending on a Parameter
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