Resource title

Monte Carlo Integration Using Importance Sampling and Gibbs Sampling

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Resource description

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 importance sampling procedure. In a simulation study we compare the performance of this method with the performance of Gibbs sampling and of importance sampling using a vector of independent variates. It turns out that the new procedure is much better than independent importance sampling; up to dimension five it is also better than Gibbs sampling. The simulation results indicate that for higher dimensions Gibbs sampling is superior. (author's abstract) ; Series: Preprint Series / Department of Applied Statistics and Data Processing

Resource author

Wolfgang Hörmann, Josef Leydold

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Resource publish date

Resource language

en

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application/pdf

Resource resource URL

http://epub.wu.ac.at/1642/1/document.pdf

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Adapt according to the license agreement. Always reference the original source and author.