메뉴 건너뛰기




Volumn 1, Issue , 1996, Pages 731-800

Chapter 15 Monte carlo simulation and numerical integration

Author keywords

[No Author keywords available]

Indexed keywords


EID: 70350097459     PISSN: 15740021     EISSN: None     Source Type: Book Series    
DOI: 10.1016/S1574-0021(96)01017-9     Document Type: Review
Times cited : (105)

References (100)
  • 1
    • 0015967277 scopus 로고
    • Computer methods for sampling from gamma, beta, Poisson, and binomial distributions
    • Ahrens J.H., and Dieter U. Computer methods for sampling from gamma, beta, Poisson, and binomial distributions. Computing 12 (1974) 223-246
    • (1974) Computing , vol.12 , pp. 223-246
    • Ahrens, J.H.1    Dieter, U.2
  • 2
    • 34250259920 scopus 로고
    • Sampling from binomial and Poisson distributions: a method with bounded computation times
    • Ahrens J.H., and Dieter U. Sampling from binomial and Poisson distributions: a method with bounded computation times. Computing 25 (1980) 193-208
    • (1980) Computing , vol.25 , pp. 193-208
    • Ahrens, J.H.1    Dieter, U.2
  • 8
    • 49649139611 scopus 로고
    • Optimal economic growth and uncertainty: The discounted case
    • Brock W.A., and Mirman L.J. Optimal economic growth and uncertainty: The discounted case. Journal of Economic Theory 4 (1972) 497-513
    • (1972) Journal of Economic Theory , vol.4 , pp. 497-513
    • Brock, W.A.1    Mirman, L.J.2
  • 9
    • 32344446687 scopus 로고
    • Understanding the Metropolis-Hastings algorithm
    • Chib S., and Greenberg E. Understanding the Metropolis-Hastings algorithm. The American Statistician 49 (1995) 327-335
    • (1995) The American Statistician , vol.49 , pp. 327-335
    • Chib, S.1    Greenberg, E.2
  • 10
    • 0001859773 scopus 로고
    • Fourier analysis of uniform random number generators
    • Coveyou R.R., and MacPherson R.D. Fourier analysis of uniform random number generators. Journal of the ACM 14 (1967) 100-119
    • (1967) Journal of the ACM , vol.14 , pp. 100-119
    • Coveyou, R.R.1    MacPherson, R.D.2
  • 13
    • 34848863862 scopus 로고
    • Adaptive importance sampling and chaining
    • Statistical Multiple Integration, American mathematical Society, Providence
    • Evans M. Adaptive importance sampling and chaining. Statistical Multiple Integration. Contemporary Mathematics 115 (1991), American mathematical Society, Providence 137-142
    • (1991) Contemporary Mathematics , vol.115 , pp. 137-142
    • Evans, M.1
  • 16
    • 84968518347 scopus 로고
    • Von Neumann's comparison method for random sampling from the normal and other distributions
    • Forsythe G.E. Von Neumann's comparison method for random sampling from the normal and other distributions. Mathematical Computation 26 (1972) 817-826
    • (1972) Mathematical Computation , vol.26 , pp. 817-826
    • Forsythe, G.E.1
  • 18
    • 84972492387 scopus 로고
    • Inference from iterative simulation using multiple sequences
    • Gelman A., and Rubin D.B. Inference from iterative simulation using multiple sequences. Statistical Science 7 (1992) 457-472
    • (1992) Statistical Science , vol.7 , pp. 457-472
    • Gelman, A.1    Rubin, D.B.2
  • 20
    • 0011656595 scopus 로고
    • Subregion adaptive algorithms for multiple integrals
    • Statistical Multiple Integration, American mathematical Society, Providence
    • Genz A. Subregion adaptive algorithms for multiple integrals. Statistical Multiple Integration. Contemporary Mathematics 115 (1991), American mathematical Society, Providence 23-31
    • (1991) Contemporary Mathematics , vol.115 , pp. 23-31
    • Genz, A.1
  • 21
    • 70350127140 scopus 로고    scopus 로고
    • Subregion adaptive integration of functions having a dominant peak
    • Washington State University
    • Genz A., and Kass R. Subregion adaptive integration of functions having a dominant peak. working paper (1996), Washington State University
    • (1996) working paper
    • Genz, A.1    Kass, R.2
  • 22
    • 84976821043 scopus 로고
    • An adaptive algorithm for numerical integration over an N-dimensional rectangular region
    • Genz A., and Malik A. An adaptive algorithm for numerical integration over an N-dimensional rectangular region. Journal of Computational and Applied Mathematics 6 (1980) 295-302
    • (1980) Journal of Computational and Applied Mathematics , vol.6 , pp. 295-302
    • Genz, A.1    Malik, A.2
  • 23
    • 0000074117 scopus 로고
    • An imbedded family of fully symmetric numerical integration rules
    • Genz A., and Malik A.A. An imbedded family of fully symmetric numerical integration rules. SIAM Journal of Numerical Analysis 20 (1983) 580-588
    • (1983) SIAM Journal of Numerical Analysis , vol.20 , pp. 580-588
    • Genz, A.1    Malik, A.A.2
  • 24
    • 84986366980 scopus 로고
    • Exact inference in the inequality constrained normal linear regression model
    • Geweke J. Exact inference in the inequality constrained normal linear regression model. Journal of Applied Econometrics 1 (1986) 127-141
    • (1986) Journal of Applied Econometrics , vol.1 , pp. 127-141
    • Geweke, J.1
  • 25
    • 38249030777 scopus 로고
    • Antithetic acceleration of Monte Carlo integration in Bayesian inference
    • Geweke J. Antithetic acceleration of Monte Carlo integration in Bayesian inference. Journal of Econometrics 38 (1988) 73-89
    • (1988) Journal of Econometrics , vol.38 , pp. 73-89
    • Geweke, J.1
  • 26
    • 0001667705 scopus 로고
    • Bayesian inference in econometric models using Monte Carlo integration
    • Geweke J. Bayesian inference in econometric models using Monte Carlo integration. Econometrica 57 (1989) 1317-1340
    • (1989) Econometrica , vol.57 , pp. 1317-1340
    • Geweke, J.1
  • 27
    • 0001878857 scopus 로고
    • Efficient simulation from the multivariate normal and student-t distributions subject to linear constraints
    • Keramidas E.M. (Ed)
    • Geweke J. Efficient simulation from the multivariate normal and student-t distributions subject to linear constraints. In: Keramidas E.M. (Ed). Computing science and statistics: Proceedings of the 23rd symposium on the interface (1991) 571-578
    • (1991) Computing science and statistics: Proceedings of the 23rd symposium on the interface , pp. 571-578
    • Geweke, J.1
  • 28
    • 0001032163 scopus 로고
    • Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments
    • Bernardo J.M., et al. (Ed), Clarendon Press, Oxford
    • Geweke J. Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments. In: Bernardo J.M., et al. (Ed). Bayesian statistics 4: Proceedings of the fourth Valencia international meeting (1992), Clarendon Press, Oxford
    • (1992) Bayesian statistics 4: Proceedings of the fourth Valencia international meeting
    • Geweke, J.1
  • 29
    • 70350131715 scopus 로고
    • Priors for macroeconomic time series
    • Federal Reserve Bank of Minneapolis Institute for Empirical Macroeconomics
    • Geweke J. Priors for macroeconomic time series. Federal Reserve Bank of Minneapolis Institute for Empirical Macroeconomics. Discussion Paper No. 64 (1992)
    • (1992) Discussion Paper No. 64
    • Geweke, J.1
  • 30
    • 84972511893 scopus 로고
    • Practical Markov chain Monte Carlo
    • Geyer C.J. Practical Markov chain Monte Carlo. Statistical Science 7 (1992) 473-481
    • (1992) Statistical Science , vol.7 , pp. 473-481
    • Geyer, C.J.1
  • 31
    • 0000324169 scopus 로고
    • Adaptive rejection sampling for Gibbs sampling
    • (JRSS Series C)
    • (JRSS Series C). Gilks W.R., and Wild P. Adaptive rejection sampling for Gibbs sampling. Applied Statistics 41 (1992) 337-348
    • (1992) Applied Statistics , vol.41 , pp. 337-348
    • Gilks, W.R.1    Wild, P.2
  • 32
  • 34
    • 2142702222 scopus 로고
    • Notes on a new pseudo-random number generator
    • Greenberger M. Notes on a new pseudo-random number generator. Journal of the ACM 8 (1961) 163-167
    • (1961) Journal of the ACM , vol.8 , pp. 163-167
    • Greenberger, M.1
  • 35
    • 0002020770 scopus 로고
    • On the efficiency of evaluating certain quasi-random sequences of points in evaluating multi-dimensional integrals
    • Halton J.M. On the efficiency of evaluating certain quasi-random sequences of points in evaluating multi-dimensional integrals. Numerische Mathematik 2 (1960) 84-90
    • (1960) Numerische Mathematik , vol.2 , pp. 84-90
    • Halton, J.M.1
  • 41
    • 77956890234 scopus 로고
    • Monte Carlo sampling methods using Markov chains and their applications
    • Hastings W.K. Monte Carlo sampling methods using Markov chains and their applications. Biometrika 57 (1970) 97-109
    • (1970) Biometrika , vol.57 , pp. 97-109
    • Hastings, W.K.1
  • 42
    • 0000489595 scopus 로고
    • Funktionen von Beschrankter Variation in der Theorie der Gleichverteilung
    • Hlawka E. Funktionen von Beschrankter Variation in der Theorie der Gleichverteilung. Annali di Matematica Pura Ed Applicata 54 (1961) 325-333
    • (1961) Annali di Matematica Pura Ed Applicata , vol.54 , pp. 325-333
    • Hlawka, E.1
  • 43
    • 0000250624 scopus 로고
    • The behavior of maximum likelihood estimates under nonstandard conditions
    • LeCam L.M., and Neyman J. (Eds), Univ. of California Press, Berkeley
    • Huber P.J. The behavior of maximum likelihood estimates under nonstandard conditions. In: LeCam L.M., and Neyman J. (Eds). Proceedings of the fifth Berkeley symposium on mathematical statistics and probability Vol. 1 (1967), Univ. of California Press, Berkeley 221-234
    • (1967) Proceedings of the fifth Berkeley symposium on mathematical statistics and probability , vol.1 , pp. 221-234
    • Huber, P.J.1
  • 44
    • 0345288734 scopus 로고
    • Visual Numerics, Houston
    • IMSL. IMSL stat/library (1994), Visual Numerics, Houston
    • (1994) IMSL stat/library
    • IMSL1
  • 47
    • 70350125110 scopus 로고
    • Computer generation of Poisson, binomial, and hypergeometric random variates
    • Purdue University
    • Kachitvichyanukul V. Computer generation of Poisson, binomial, and hypergeometric random variates. PhD dissertation (1982), Purdue University
    • (1982) PhD dissertation
    • Kachitvichyanukul, V.1
  • 48
    • 0001432119 scopus 로고
    • Methods of reducing sample size in Monte Carlo computations
    • Kahn M., and Marshall A.W. Methods of reducing sample size in Monte Carlo computations. Operations Research 1 (1953) 263-278
    • (1953) Operations Research , vol.1 , pp. 263-278
    • Kahn, M.1    Marshall, A.W.2
  • 49
    • 43949154401 scopus 로고
    • The solution and estimation of discrete choice dynamic programming models by simulation: Monte Carlo evidences
    • Keune M., and Wolpin K. The solution and estimation of discrete choice dynamic programming models by simulation: Monte Carlo evidences. Review of Economics and Statistics 76 (1994) 648-672
    • (1994) Review of Economics and Statistics , vol.76 , pp. 648-672
    • Keune, M.1    Wolpin, K.2
  • 51
    • 34250130646 scopus 로고
    • Central limit theorem for additive functionals of reversible Markov processes and applications to simple exclusions
    • Kipnis C., and Varadhan S.R.S. Central limit theorem for additive functionals of reversible Markov processes and applications to simple exclusions. Communications in Mathematical Physics 104 (1986) 1-19
    • (1986) Communications in Mathematical Physics , vol.104 , pp. 1-19
    • Kipnis, C.1    Varadhan, S.R.S.2
  • 52
    • 0002662247 scopus 로고
    • Bayesian estimates of equation system parameters: An application of integration by Monte Carlo
    • Kloek T., and van Dijk H.K. Bayesian estimates of equation system parameters: An application of integration by Monte Carlo. Econometrica 46 (1978) 1-20
    • (1978) Econometrica , vol.46 , pp. 1-20
    • Kloek, T.1    van Dijk, H.K.2
  • 53
    • 0003340059 scopus 로고
    • The art of computer programming
    • Addison-Wesley, Reading, MA
    • Knuth D.E. The art of computer programming. Seminumerical algorithms. 2nd edn. Vol. 2 (1981), Addison-Wesley, Reading, MA
    • (1981) Seminumerical algorithms. 2nd edn. , vol.2
    • Knuth, D.E.1
  • 54
    • 0011955637 scopus 로고
    • On the alias method for generating random variables from a discrete distribution
    • Kronmal R.A., and Peterson A.V. On the alias method for generating random variables from a discrete distribution. American Statistician 33 (1979) 214-218
    • (1979) American Statistician , vol.33 , pp. 214-218
    • Kronmal, R.A.1    Peterson, A.V.2
  • 55
    • 0042337898 scopus 로고
    • Efficient and portable combined pseudorandom number generators
    • L'Ecuyer P. Efficient and portable combined pseudorandom number generators. Communications of the ACM 29 (1986) 304-313
    • (1986) Communications of the ACM , vol.29 , pp. 304-313
    • L'Ecuyer, P.1
  • 56
    • 0007192123 scopus 로고
    • Expressing a random variable in terms of uniform random variables
    • Marsaglia G. Expressing a random variable in terms of uniform random variables. Annals of Mathematical Statistics 32 (1961) 894-899
    • (1961) Annals of Mathematical Statistics , vol.32 , pp. 894-899
    • Marsaglia, G.1
  • 57
    • 0009887715 scopus 로고
    • Generating a variable from the tail of a normal distribution
    • Marsaglia G. Generating a variable from the tail of a normal distribution. Technometrics 6 (1964) 101-102
    • (1964) Technometrics , vol.6 , pp. 101-102
    • Marsaglia, G.1
  • 59
    • 0001240132 scopus 로고
    • The structure of linear congruential sequences
    • Zarema S.K. (Ed), Academic Press, New York
    • Marsaglia G. The structure of linear congruential sequences. In: Zarema S.K. (Ed). Applications of number theory to numerical analysis (1972), Academic Press, New York
    • (1972) Applications of number theory to numerical analysis
    • Marsaglia, G.1
  • 60
    • 0000284806 scopus 로고
    • A convenient method for generating normal variables
    • Marsaglia G., and Bray T.A. A convenient method for generating normal variables. SIAM Review 6 (1964) 260-264
    • (1964) SIAM Review , vol.6 , pp. 260-264
    • Marsaglia, G.1    Bray, T.A.2
  • 61
    • 0009069898 scopus 로고
    • On-line random number generators and their use in combinations
    • Marsaglia G., and Bray T.A. On-line random number generators and their use in combinations. Communications of the ACM 11 (1968) 757-759
    • (1968) Communications of the ACM , vol.11 , pp. 757-759
    • Marsaglia, G.1    Bray, T.A.2
  • 65
    • 0029686411 scopus 로고    scopus 로고
    • Solving the stochastic growth model with a finite element method
    • McGrattan E. Solving the stochastic growth model with a finite element method. Journal of Economic Dynamics and Control 20 (1996) 19-42
    • (1996) Journal of Economic Dynamics and Control , vol.20 , pp. 19-42
    • McGrattan, E.1
  • 66
    • 0000880449 scopus 로고
    • Construction of fully symmetric numerical integration formulas
    • McNamee J., and Stenger F. Construction of fully symmetric numerical integration formulas. Numerical Mathematics 10 (1967) 327-344
    • (1967) Numerical Mathematics , vol.10 , pp. 327-344
    • McNamee, J.1    Stenger, F.2
  • 68
    • 0011415390 scopus 로고
    • Simulating the small-sample properties of econometric estimators
    • Mikhail W.M. Simulating the small-sample properties of econometric estimators. Journal of the American Statistical Association 67 (1972) 620-624
    • (1972) Journal of the American Statistical Association , vol.67 , pp. 620-624
    • Mikhail, W.M.1
  • 69
    • 70350130803 scopus 로고
    • Variance reduction by antithetic variates in G1/G/1 queueing simulation
    • Mitchell B. Variance reduction by antithetic variates in G1/G/1 queueing simulation. Operations Research 21 (1973) 988-997
    • (1973) Operations Research , vol.21 , pp. 988-997
    • Mitchell, B.1
  • 72
    • 0015730787 scopus 로고
    • Optimum Monte-Carlo sampling using Markov chains
    • Peskun P.H. Optimum Monte-Carlo sampling using Markov chains. Biometrika 60 (1973) 607-612
    • (1973) Biometrika , vol.60 , pp. 607-612
    • Peskun, P.H.1
  • 76
    • 10844259617 scopus 로고
    • On the evaluation of definite integrals and a quasi-Monte Carlo method based on properties of algebraic numbers
    • Los Alamos Scientific Laboratories, Los Alamos
    • Richmeyer R.D. On the evaluation of definite integrals and a quasi-Monte Carlo method based on properties of algebraic numbers. Report LA-1342 (1952), Los Alamos Scientific Laboratories, Los Alamos
    • (1952) Report LA-1342
    • Richmeyer, R.D.1
  • 77
    • 47849104807 scopus 로고
    • A non-random sampling method, based on congruences for Monte Carlo problems
    • Institute of Mathematical Sciences, New York University, New York
    • Richtmeyer R.D. A non-random sampling method, based on congruences for Monte Carlo problems. Report NYO-8674 (1958), Institute of Mathematical Sciences, New York University, New York
    • (1958) Report NYO-8674
    • Richtmeyer, R.D.1
  • 79
    • 43949153069 scopus 로고
    • Simple conditions for the convergence of the gibbs sampler and Metropolis-Hastings algorithms
    • Roberts G.O., and Smith A.F.M. Simple conditions for the convergence of the gibbs sampler and Metropolis-Hastings algorithms. Stochastic Processes and Their Applications 49 (1994) 207-216
    • (1994) Stochastic Processes and Their Applications , vol.49 , pp. 207-216
    • Roberts, G.O.1    Smith, A.F.M.2
  • 82
    • 0013235231 scopus 로고
    • Solving stochastic dynamic programming problems using rules of thumb
    • Queen's University, Department of Economics
    • Smith A.A. Solving stochastic dynamic programming problems using rules of thumb. Discussion Paper No. 816 (1991), Queen's University, Department of Economics
    • (1991) Discussion Paper No. 816
    • Smith, A.A.1
  • 84
    • 84968494987 scopus 로고
    • On the calculation of the inverse of the error function
    • Strecok A.J. On the calculation of the inverse of the error function. Mathematics of Computation 22 (1968) 144-158
    • (1968) Mathematics of Computation , vol.22 , pp. 144-158
    • Strecok, A.J.1
  • 86
    • 0000708561 scopus 로고
    • Diagnostic testing and evaluation of maximum likelihood models
    • Tauchen G. Diagnostic testing and evaluation of maximum likelihood models. Journal of Econometrics 30 (1985) 415-443
    • (1985) Journal of Econometrics , vol.30 , pp. 415-443
    • Tauchen, G.1
  • 88
    • 1642284286 scopus 로고
    • Solving nonlinear stochastic growth models: A comparison of alternative solution methods
    • Taylor J., and Uhlig H. Solving nonlinear stochastic growth models: A comparison of alternative solution methods. Journal of Business and Economic Statistics 8 (1990) 1-17
    • (1990) Journal of Business and Economic Statistics , vol.8 , pp. 1-17
    • Taylor, J.1    Uhlig, H.2
  • 89
    • 0027677150 scopus 로고
    • On the lattice structure of the add-with-carry and subtract-with-borrow random number generators
    • Tezuka S., L'Ecuyer P., and Couture R. On the lattice structure of the add-with-carry and subtract-with-borrow random number generators. ACM Transactions on Modeling and Computer Simulation 3 (1993) 315-331
    • (1993) ACM Transactions on Modeling and Computer Simulation , vol.3 , pp. 315-331
    • Tezuka, S.1    L'Ecuyer, P.2    Couture, R.3
  • 90
    • 0009280781 scopus 로고
    • Exploring posterior distributions using Markov chains
    • Keramaidas E.M. (Ed), Interface Foundation of North America, Fairfax
    • Tierney L. Exploring posterior distributions using Markov chains. In: Keramaidas E.M. (Ed). Computing science and statistics: Proceedings of the 23rd symposium on the interface (1991), Interface Foundation of North America, Fairfax 563-570
    • (1991) Computing science and statistics: Proceedings of the 23rd symposium on the interface , pp. 563-570
    • Tierney, L.1
  • 91
    • 0000576595 scopus 로고
    • Markov chains for exploring posterior distributions
    • Tierney L. Markov chains for exploring posterior distributions. Annals of Statistics 22 (1994) 1701-1762
    • (1994) Annals of Statistics , vol.22 , pp. 1701-1762
    • Tierney, L.1
  • 93
    • 0001560641 scopus 로고
    • Fully exponential Laplace approximations to expectations and variances of nonpositive functions
    • Tierney L., Kass R.E., and Kadane J.B. Fully exponential Laplace approximations to expectations and variances of nonpositive functions. Journal of the American Statistical Association 84 (1989) 710-716
    • (1989) Journal of the American Statistical Association , vol.84 , pp. 710-716
    • Tierney, L.1    Kass, R.E.2    Kadane, J.B.3
  • 94
    • 8344249623 scopus 로고
    • An adaptive algorithm for numerical integration over an N-dimensional rectangular region
    • van Dooren P., and de Ridder L. An adaptive algorithm for numerical integration over an N-dimensional rectangular region. Journal of Computational and Applied Mathematics 2 (1976) 207-217
    • (1976) Journal of Computational and Applied Mathematics , vol.2 , pp. 207-217
    • van Dooren, P.1    de Ridder, L.2
  • 96
    • 0016050220 scopus 로고
    • New fast method for generating discrete random numbers with arbitrary frequency distributions
    • Walker A.J. New fast method for generating discrete random numbers with arbitrary frequency distributions. Electronics Letters 10 (1974) 127-128
    • (1974) Electronics Letters , vol.10 , pp. 127-128
    • Walker, A.J.1
  • 97
    • 0001285808 scopus 로고
    • An efficient method for generating discrete random variables with general distributions
    • Walker A.J. An efficient method for generating discrete random variables with general distributions. ACM Transactions on Mathematical Software 3 (1977) 253-256
    • (1977) ACM Transactions on Mathematical Software , vol.3 , pp. 253-256
    • Walker, A.J.1
  • 98
    • 0001312511 scopus 로고
    • An efficient and portable pseudo-random number generator
    • Wichmann B.A., and Hill I.D. An efficient and portable pseudo-random number generator. Applied Statistics 31 (1982) 188-190
    • (1982) Applied Statistics , vol.31 , pp. 188-190
    • Wichmann, B.A.1    Hill, I.D.2
  • 99
    • 4243285222 scopus 로고
    • Adaptive rejection sampling from log-concave density functions
    • Wild P., and Gilks W.R. Adaptive rejection sampling from log-concave density functions. Applied Statistics (JRSS Series C) 42 (1993) 701-708
    • (1993) Applied Statistics (JRSS Series C) , vol.42 , pp. 701-708
    • Wild, P.1    Gilks, W.R.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.