Monte Carlo Integration
Two major classes of numerical problems that arise in statistical inference are optimization problems and integration problems. (An associated problem, that of implicit equations, can often be reformulated as an optimization problem.) Although optimization is generally associated with the likelihood approach, and integration with the Bayesian approach, these are not strict classifications, as shown by Examples 1.2.2 and 1.3.5, and Examples 3.1.1, 3.1.2 and 3.1.3, respectively.
KeywordsImportance Sampling Laplace Approximation Monte CARLO Integration Saddlepoint Approximation Edgeworth Expansion
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