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Thread Subject:
performing monte-carlo integration

Subject: performing monte-carlo integration

From: Pete sherer

Date: 11 Mar, 2009 18:55:03

Message: 1 of 2

Hi,

I have an empirical joint density function of a 2 variates (X1 and X2). Also I have another function that is a function of x1 and x2. I can do the numerical integration to convolve the 2 types of information. My question is that
Are there ways to simulate joint realizations of X1 and X2 following the empirical density function?

Thank you for any hints you provide in advance.
Pete

Subject: performing monte-carlo integration

From: Peter Perkins

Date: 11 Mar, 2009 20:14:35

Message: 2 of 2

Pete sherer wrote:

> I have an empirical joint density function of a 2 variates (X1 and X2). Also I have another function that is a function of x1 and x2. I can do the numerical integration to convolve the 2 types of information. My question is that
> Are there ways to simulate joint realizations of X1 and X2 following the empirical density function?

You haven't said what kind of empirical density estimate you have. The answer might be, "resample from your data", or it might be "resample from your data and add some bivariate normal noise", or it might be something else, depending on what you have.

Hope this helps.

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