Monte Carlo Simulation and Numerical Integration

公开
Creator Series Issue number
  • 192
Date Created
  • 1995-05
Abstract
  • 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.

Related information Corporate Author
  • Federal Reserve Bank of Minneapolis. Research Department
Publisher
  • Federal Reserve Bank of Minneapolis
Resource type DOI
License

关联

属于 Collection:
最新修改

可下载的内容

下载PDF文件

Zipped Files

Download a zip file that contains all the files in this work.

单件