1985
Posterior moments computed by mixed integration
Publication
Publication
A flexible numerical integration method is proposed for the computation of moments of a multivariate posterior density with different tail properties in different directions. The method (called mixed integration) amounts to a combination of classical numerical integration and Monte Carlo integration. Mixed integration is parsimonious in the sense that is makes use of the same parameters as the more restrictive multivariate normal importance function. The method is applied in order to compute the posterior scores of three candidates for a professorship in operations research, taking into account four different decision criteria.
| Additional Metadata | |
|---|---|
| , , | |
| doi.org/10.1016/0304-4076(85)90030-2, hdl.handle.net/1765/11232 | |
| Journal of Econometrics | |
| Organisation | Erasmus School of Economics |
|
van Dijk, H., Kloek, T., & Boender, C. G. E. (1985). Posterior moments computed by mixed integration. Journal of Econometrics. doi:10.1016/0304-4076(85)90030-2 |
|
