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.

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doi.org/10.1016/0304-4076(85)90030-2, hdl.handle.net/1765/11232
Journal of Econometrics
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