کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5097090 1376570 2009 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Testing the assumptions behind importance sampling
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Testing the assumptions behind importance sampling
چکیده انگلیسی
Importance sampling is used in many areas of modern econometrics to approximate unsolvable integrals. Its reliable use requires the sampler to possess a variance, for this guarantees a square root speed of convergence and asymptotic normality of the estimator of the integral. However, this assumption is seldom checked. In this paper we use extreme value theory to empirically assess the appropriateness of this assumption. Our main application is the stochastic volatility model, where importance sampling is commonly used for maximum likelihood estimation of the parameters of the model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 149, Issue 1, April 2009, Pages 2-11
نویسندگان
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