Monte Carlo Approximations for Low Moments of Order Deviates from Arbitrary Continuous Distribution
Cairo University Statistics Working Paper
18th Annual Conference on Statistics & Modeling in Human & Social Science
9 Pages Posted: 28 Aug 2006
A simple and readily computable algorithm is developed for approximating the low moments of order deviates from any continuous distribution. The results are compared with those obtained from exact closed form moments, obtained from quadrature as well as other non-Monte Carlo integral computations.
Keywords: Recurrence, Monte Carlo Integration, Quadrature, Inverse Probability-Integral, Transformations with Multiple Roots
JEL Classification: C15; C63; C87
Suggested Citation: Suggested Citation