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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
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The cross-entropy method with patching for rare-event simulation of large Markov chains
Kaynar, Bahar; Ridder, Ad - 2009
which partitions the state space and applies the cross-entropy method to each partition. We investigate two versions of our …
Persistent link: https://www.econbiz.de/10011379128
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Importance sampling simulations of Markovian reliability systems using cross entropy
Ridder, Ad - 2004
This paper reports simulation experiments, applying the cross entropy method suchas the importance sampling algorithm …
Persistent link: https://www.econbiz.de/10011334846
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Probabilistic bounded relative error property for learning rare event simulation techniques
Ridder, Ad; Tuffin, Bruno - 2012
Persistent link: https://www.econbiz.de/10009722965
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Importance sampling simulations Markovian reliability systems using cross entropy
Ridder, Ad - 2004
Persistent link: https://www.econbiz.de/10001928203
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Semiparametric cross entropy for rare-event simulation
Botev, Zdravko I.; Ridder, Ad; Rojas-Nandayapa, Leonardo - 2013
Persistent link: https://www.econbiz.de/10010191281
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An entropy based analysis of the relationship between the DOW JONES Index and the TRNA sentiment series
Allen, David E.; McAleer, Michael; Singh, Abhay K - 2016
the stock prices of these companies using entropy measures. The entropy and Mutual Information (MI) statistics permit an …
Persistent link: https://www.econbiz.de/10011456716
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Preference estimation from point allocation experiments
Collewet, Marion; Koster, Paul - 2023
commonly used in the literature. We also show how a formulation of a taste for variety as entropy that had been previously used …
Persistent link: https://www.econbiz.de/10014233387
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A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
Persistent link: https://www.econbiz.de/10009765843
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Stationarity and ergodicity of univariate generalized autoregressive score processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2012
Persistent link: https://www.econbiz.de/10009722625