A 1-1 poly-t random variable generator with application to Monte-Carlo integration

Bauwens, Luc;Richard, JF.
(1985) Journal of Econometrics — Vol. 29, n° 1-2, p. 19-46 (1985)

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  • Bauwens, Lucorcid-logoUCLouvain
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  • Richard, JF.
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Abstract
(en) m-1 poly-t density functions have kernels which are ratios of a product of m multivariate-t density kernels to a single multivariate-t density kernel and arise as posterior densities for the coefficient of a single structural equation under a variety of assumptions. We propose a computer algorithm for drawing random samples from 1-1 poly-t distributions and discuss how to use these distributions for the evaluation of characteristics of higher order poly-t distributions. Illustrative examples demonstrate that this algorithm is fairly accurate at reasonable costs of computation.
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Bauwens, L., & Richard, JF. (1985). A 1-1 poly-t random variable generator with application to Monte-Carlo integration. Journal of Econometrics, 29(1-2), 19-46. https://doi.org/10.1016/0304-4076(85)90031-4 (Original work published 1985)