Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods

DOI10.1016/j.jeconom.2003.12.002zbMath1085.62028OpenAlexW2085524664MaRDI QIDQ1886281

Rutger D. van Oest, Luc Bauwens, Charles S. Bos, Hermann K. Van Dijk

Publication date: 18 November 2004

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

Full work available at URL: http://repub.eur.nl/pub/1722

zbMATH Keywords

Markov chain Monte CarloImportance samplingRadial coordinates

Mathematics Subject Classification ID

Related Items (10)

On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks ⋮ Striated Metropolis-Hastings sampler for high-dimensional models ⋮ On Bayesian analysis and computation for functions with monotonicity and curvature restrictions ⋮ Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods ⋮ Unconstrained Cholesky-based parametrization of correlation matrices ⋮ A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood ⋮ Measures of global sensitivity in linear programming: applications in banking sector ⋮ Multi-objective optimization using statistical models ⋮ Importance sampling from posterior distributions using copula-like approximations ⋮ Bayesian inference for the mixed conditional heteroskedasticity model

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