Template-Type: ReDIF-Paper 1.0 Series: Tinbergen Institute Discussion Papers Creation-Date: 1998-07-09 Number: 98-071/4 Author-Name: Luc Bauwens Author-Workplace-Name: CORE, Université Catholique de Louvain Author-Name: Charles S. Bos Author-Email: cbos@few.eur.nl Author-Workplace-Name: Erasmus University Rotterdam Author-Name: Herman K. van Dijk Author-Email: hkvandijk@few.eur.nl Author-Workplace-Name: Erasmus University Rotterdam Title: Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces Abstract: This discussion paper resulted in a publication in: (W. Jansen and J.G. Bethlehem eds.) 'Compstat 2000, Statistics Netherlands', 2000, pages 13-14.

Adaptive Polar Sampling is proposed as an algorithm where random drawings aredirectly generated from the target function (posterior) in all-but-onedirections of the parameter space. The method is based on the mixed integrationtechnique of Van Dijk, Kloek & Boender (1985) but extends this one by replacingthe one-dimensional quadrature step by Monte Carlo simulation from thisone-dimensional distribution function. The method is particularly suited for the analysis of ill-behaved surfaces. Anillustrative example shows the feasibility of the algorithm. Keywords: Markov Chain Monte Carlo sampling; Ill-behaved surfaces; Polar coordinates File-Url: https://papers.tinbergen.nl/98071.pdf File-Format: application/pdf File-Size: 291009 bytes Handle: RePEc:tin:wpaper:19980071