Monte Carlo evaluation of multivariate student's t probabilities

被引：2

作者：

Vijverberg, WPM

机构：

[1] School of Social Sciences, University of Texas at Dallas, Richardson

来源：

ECONOMICS LETTERS | 1996年 / 52卷 / 01期

关键词：

multivariate t probability; simulation; importance sampling;

D O I：

10.1016/0165-1765(96)00835-X

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper develops a family of simulators of the multivariate t probability, based on a suitable choice of an importance sampling distribution. These simulators are useful for the evaluation of posterior densities and for hypothesis testing in Bayesian analysis.

引用

页码：1 / 6

页数：6

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