A methodology for fitting general stochastic volatility (SV) models that are naturally cast in terms of a positive volatility process is developed. Two well known methods for evaluating the likelihood function, sequential importance sampling and Laplace importance sampling, are combined. The...

In order to construct fixed-width (2d) confidence intervals for the mean of an unknown distribution function F , a new purely sequential sampling strategy is proposed first. The approach is quite different from the more traditional methodology of Chow and Robbins (1965, Ann. Math. Statist. , 36...