Seo, Ye-Ji; Kim, Sunggon - In: Risks : open access journal 12 (2024) 12, pp. 1-22
. To overcome this shortcoming, we propose a sequential importance sampling, which is a modification of CMC. In the … proposed method. The sampling distribution of innovations is chosen differently from the estimated conditional distribution of … error of ES, and requires the less simulated samples. We propose how to find the near optimal sampling distribution. The …