Interpolation, Quadrature, And Stochastic Integration
AbstractThis 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 InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 17 (2001)
Issue (Month): 05 (October)
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- Dennis Kristensen & Bernard Salanie, 2010.
"Higher Order Improvements for Approximate Estimators,"
0910-15, Columbia University, Department of Economics.
- Dennis Kristensen & Bernard Salanié, 2010. "Higher Order Improvements for Approximate Estimators," CAM Working Papers 2010-04, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
- 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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