Adaptive Polar Sampling is proposed as an algorithm where random drawings are directly generated from the target function (posterior) in all-but-one directions of the parameter space. The method is based on the mixed integration technique of Van Dijk, Kloek & Boender (1985) but extends this one by replacing the one-dimensional quadrature step by Monte Carlo simulation from this one-dimensional distribution function. The method is particularly suited for the analysis of ill-behaved surfaces. An illustrative example shows the feasibility of the algorithm.

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hdl.handle.net/1765/1550
Econometric Institute Research Papers
Erasmus School of Economics

Bauwens, L., Bos, C., & van Dijk, H. (1998). Adaptive polar sampling: a new MC technique for the analysis of ill behaved surfaces (No. EI 9822). Econometric Institute Research Papers. Retrieved from http://hdl.handle.net/1765/1550