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Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces

Author

Listed:
  • Luc Bauwens

    (CORE, Université Catholique de Louvain)

  • Charles S. Bos

    (Erasmus University Rotterdam)

  • Herman K. van Dijk

    (Erasmus University Rotterdam)

Abstract

This discussion paper resulted in a publication in: (W. Jansen and J.G. Bethlehem eds.) 'Compstat 2000, Statistics Netherlands', 2000, pages 13-14. Adaptive Polar Sampling is proposed as an algorithm where random drawings aredirectly generated from the target function (posterior) in all-but-onedirections of the parameter space. The method is based on the mixed integrationtechnique of Van Dijk, Kloek & Boender (1985) but extends this one by replacingthe one-dimensional quadrature step by Monte Carlo simulation from thisone-dimensional distribution function. The method is particularly suited for the analysis of ill-behaved surfaces. Anillustrative example shows the feasibility of the algorithm.

Suggested Citation

  • Luc Bauwens & Charles S. Bos & Herman K. van Dijk, 1998. "Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces," Tinbergen Institute Discussion Papers 98-071/4, Tinbergen Institute.
    • Handle: RePEc:tin:wpaper:19980071
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    References listed on IDEAS

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    1. Van Dijk, Herman K. & Kloek, Teun & Boender, C. Guus E., 1985. "Posterior moments computed by mixed integration," Journal of Econometrics, Elsevier, vol. 29(1-2), pages 3-18.
    2. Kloek, Tuen & van Dijk, Herman K, 1978. "Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo," Econometrica, Econometric Society, vol. 46(1), pages 1-19, January.
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