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Interpolation, Quadrature, And Stochastic Integration

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  • Lee, Lung-fei

Abstract

This paper considers features in numerical and stochastic integration approaches for the evaluation of analytically intractable integrals. It provides a unification of these two approaches. Some important features in quadrature formulations, namely, interpolation and region partition, can provide a valuable device for the design of a stochastic simulator. An interpolating function can be used as a valuable control variate for variance reduction in simulation. We illustrate possible variance reduction by some numerical cases with Gaussian quadrature. The resulting simulator may also be regarded as a monitor of the approximation error of a quadrature.

Suggested Citation

  • Lee, Lung-fei, 2001. "Interpolation, Quadrature, And Stochastic Integration," Econometric Theory, Cambridge University Press, vol. 17(5), pages 933-961, October.
    • Handle: RePEc:cup:etheor:v:17:y:2001:i:05:p:933-961_17
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    Cited by:

    1. Kristensen, Dennis & Salanié, Bernard, 2017. "Higher-order properties of approximate estimators," Journal of Econometrics, Elsevier, vol. 198(2), pages 189-208.
    2. Dennis Kristensen & Bernard Salanié, 2010. "Higher Order Improvements for Approximate Estimators," CAM Working Papers 2010-04, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.

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