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Interpolation, Quadrature, And Stochastic Integration

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  • Lee, Lung-fei

Abstract

This paper considers features in numerical and stochastic integration approaches for the evaluation of analytically intractable integrals. It provides a unification of these two approaches. Some important features in quadrature formulations, namely, interpolation and region partition, can provide a valuable device for the design of a 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 resulting simulator may also be regarded as a monitor of the approximation error of a quadrature.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 17 (2001)
Issue (Month): 05 (October)
Pages: 933-961

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Handle: RePEc:cup:etheor:v:17:y:2001:i:05:p:933-961_17

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Cited by:
  1. Dennis Kristensen & Bernard Salanie, 2010. "Higher Order Improvements for Approximate Estimators," Discussion Papers 0910-15, Columbia University, Department of Economics.
  2. Dennis Kristensen & Bernard Salanie, 2013. "Higher-order properties of approximate estimators," CeMMAP working papers CWP45/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

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