INTERPOLATION, QUADRATURE, AND STOCHASTIC INTEGRATION

B-Tier
Journal: Econometric Theory
Year: 2001
Volume: 17
Issue: 5
Pages: 933-961

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:17:y:2001:i:05:p:933-961_17
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25