Please use this identifier to cite or link to this item: http://hdl.handle.net/1783.1/2564

Interpolation, Quadrature and Stochastic Integration

Authors Lee, Lung Fei
Issue Date 2001
Source Econometric Theory , v. 17, (5), Ocober, 2001, p. 933-961
Summary 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.
Subjects
ISSN 0266-4666
Rights © Cambridge University Press 2001. This paper was (will be) published in Econometric theory and is reprinted with permission.
Language English
Format Article
Access Find@HKUST
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