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Tinbergen Institute Discussion Paper No. 98-071/4
Tinbergen Institute, Amsterdam and Rotterdam
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.
Markov Chain Monte Carlo sampling
Ill-behaved surfaces
Polar coordinates
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Working Paper

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