Monte Carlo analysis of skew posterior distributions: an econometric example
January 1983
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The posterior distribution of a small-scale illustrative econometric model is used to compare symmetric simple importance sampling with asymmetric simple importance sampling. The numerical results include posterior first and second order moments, numerical error estimates of the first order moments, posterior modes, univariate marginal posterior densities and bivariate marginal posterior densities plotted in three-dimensional figures.
Keywords
Automatically Extracted Terms
- importance sampling
- density
- approximation
- van dijk
- parameter
- importance
- monte
- carlo
- sampling
- estimate
- method
- paper
- kloek
- jstor
- function
- table
- result
- error
- value
- skewnes
