Monte Carlo Simulation and Numerical Integration

Public

This is a survey of simulation methods in economics, with a specific focus on integration problems. It describes acceptance methods, importance sampling procedures, and Markov chain Monte Carlo methods for simulation from univariate and multivariate distributions and their application to the approximation of integrals. The exposition gives emphasis to combinations of different approaches and assessment of the accuracy of numerical approximations to integrals and expectations. The survey illustrates these procedures with applications to simulation and integration problems in economics.

Published in: Handbook of computational economics (Vol. 1, 1996, pp. 731-800) https://doi.org/10.1016/S1574-0021(96)01017-9.

An earlier version of this Staff Report circulated as Working Paper 526.