Adaptive polar sampling : a new MC technique for the analysis of ill-behaved surfaces

Luc Bauwens, Charles S. Bos and Herman K. van Dijk

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.

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Year of publication:	1998 ; August 25, 1998, rev. B
Authors:	Bauwens, Luc ; Bos, Charles S. ; Dijk, Herman K. van
Publisher:	Rotterdam [u.a.] : Tinbergen Inst.
Subject:	Markov Chain Monte Carlo sampling \| Ill-behaved surfaces \| Polar coordinates \| Stichprobenerhebung \| Sampling \| Theorie \| Theory \| Markov-Kette \| Markov chain \| Monte-Carlo-Simulation \| Monte Carlo simulation