Simulating copula-based distributions and estimating tail probabilities by means of Adaptive Importance Sampling
Year of publication: |
2010
|
---|---|
Authors: | Bee, Marco |
Institutions: | Dipartimento di Economia e Management, Università degli Studi di Trento |
Subject: | Adaptive Importance Sampling | Copula | Multivariate Extreme Value Theory | Tail probability |
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