MONTE-CARLO EVALUATION OF MULTIVARIATE STUDENTS T-PROBABILITY

Authors
VIJVERBERG WPM
Citation
Wpm. Vijverberg, MONTE-CARLO EVALUATION OF MULTIVARIATE STUDENTS T-PROBABILITY, Economics letters, 52(1), 1996, pp. 1-6
Citations number
13
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
52
Issue
1
Year of publication
1996
Pages
1 - 6
Database
ISI
SICI code
0165-1765(1996)52:1<1:MEOMST>2.0.ZU;2-Z
Abstract
This paper develops a family of simulators of the multivariate t proba bility, based on a suitable choice of an importance sampling distribut ion. These simulators are useful for the evaluation of posterior densi ties and for hypothesis testing in Bayesian analysis.