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~accessRights:"free"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Discussion paper series / LSE Financial Markets Group"
~language:"eng"
~person:"Kaynar, Bahar"
~subject:"EU-Staaten"
~subject:"Kreditrisiko"
~subject:"Schätzung"
~subject:"Simulation"
~subject:"Statistische Verteilung"
~subject:"USA"
~subject:"United States"
~subject:"Zustandsraummodell"
~type:"book"
~type_genre:"Collection of articles written by one author"
~type_genre:"Graue Literatur"
~type_genre:"Non-commercial literature"
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Kaynar, Bahar
Koopman, Siem Jan
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Hoogerheide, Lennart
17
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The cross-entropy method with patching for rare-event simulation of large Markov chains
Kaynar, Bahar
;
Ridder, Ad
-
2009
There are various importance sampling schemes to estimate rare event probabilities in Markovian systems such as Markovian reliability models and Jackson networks. In this work, we present a general state dependent importance sampling method which partitions the state space and applies the...
Persistent link: https://www.econbiz.de/10011379128
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2
Finite-state Markov chains obey Benford's law
Kaynar, Bahar
;
Berger, Arno
;
Hill, Theodore P.
;
Ridder, Ad
-
2010
. Concrete examples illustrate the variouscases that arise, and the
theory
is complemented with several simulations andpotential …
Persistent link: https://www.econbiz.de/10011380062
Saved in:
3
The cross-entopy method with patching for rare-event simulation of large Markov chains
Kaynar, Bahar
;
Ridder, Ad
-
2009
Persistent link: https://www.econbiz.de/10003888073
Saved in:
4
Finite-state Markov chains obey Benford's law
Kaynar, Bahar
;
Berger, Arno
;
Hill, Theodore P.
;
Ridder, Ad
-
2010
Persistent link: https://www.econbiz.de/10003973371
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