Testing the Assumptions Behind the Use of Importance Sampling.
Importance sampling is used in many aspects 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 assumpt...
| Главные авторы: | , |
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| Формат: | Working paper |
| Язык: | English |
| Опубликовано: |
Nuffield College (University of Oxford)
2002
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