Template-Type: ReDIF-Paper 1.0
Author-Name: Bauwens, L.
Author-Name-Last: Bauwens
Author-Name-First: Luc
Author-Person: pba4
Author-Name: Bos, C.S.
Author-Name-Last: Bos
Author-Name-First: Charles
Author-Person: pbo94
Author-Name: van Dijk, H.K.
Author-Name-Last: van Dijk
Author-Name-First: Herman
Author-Person: pva325
Title: Adaptive polar sampling: a new MC technique for the analysis of ill  behaved surfaces
Abstract: 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.
Creation-Date: 1998-07-02
Series: RePEc:ems:eureir
Number: EI 9822
Keywords: Ill-behaved surfaces, Markov Chain Monte Carlo sampling, Polar coordinates
Handle: RePEc:ems:eureir:1550