HKUST Library Institutional Repository Banner

HKUST Institutional Repository >
Economics >
ECON Journal/Magazine Articles >

Please use this identifier to cite or link to this item: http://hdl.handle.net/1783.1/2564
Title: Interpolation, quadrature and stochastic integration
Authors: Lee, Lung-Fei
Keywords: Interpolation
Quadrature
Stochastic integration
Simulation
Variance reduction
Control variate
Panel data
Issue Date: Oct-2001
Citation: Econometric theory, v. 17, iss. 5, Oct. 2001, p. 933-961
Abstract: This paper considers features in numerical and stochastic integration approaches for the evaluation of analytically intractable integrals. It provides an unification of these two approaches. Some important features in quadrature formulations, namely, interpolation and region-partition, can provide valuable device for the design of 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 resulted simulator may also be regarded as a monitor of the approximation error of a quadrature.
Rights: Â© Cambridge University Press 2001. This paper was (will be) published in Econometric theory and is reprinted with permission.
URI: http://hdl.handle.net/1783.1/2564
Appears in Collections:ECON Journal/Magazine Articles

Files in This Item:

File Description SizeFormat
inter.pdfpre-published version2279KbAdobe PDFView/Open

Find published version via OpenURL Link Resolver

All items in this Repository are protected by copyright, with all rights reserved.