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Efficient high-dimensional importance sampling in mixture frameworks
Kleppe, Tore Selland; Liesenfeld, Roman - 2011
; Importance sampling ; Marginalized likelihood ; Mixture ; Monte Carlo ; Realized Volatility ; Stochastic volatility …This paper provides high-dimensional and flexible importance sampling procedures for the likelihood evaluation of …-modal target densities. Our approach is based upon the efficient importance sampling (EIS) approach of Richard and Zhang (2007) and …
Persistent link: https://www.econbiz.de/10009382978
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Survey sampling, sampling and non-sampling errors, quality of statistical data
Strecker, Heinrich (contributor) - 1994
Persistent link: https://www.econbiz.de/10000507439
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Proceedings of the Second Würzburg-Umeå Conference in Statistics : Bayerische Julius-Maximilians-Universität Würzburg, May 18 - 21, 1992
Collani, Elart von (contributor); Göb, Rainer (contributor) - Würzburg-Umeå Conference in Statistics <2, 1992, … - 1992
Persistent link: https://www.econbiz.de/10000934259
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Gebundene Hochrechnung bei Stichprobenerhebungen mit Hilfe von Splines
Münnich, Ralf T. - 1997
Persistent link: https://www.econbiz.de/10013193384
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Fehlende Werte bei korrelierten Beobachtungen
Kastner, Christian - 2001
Persistent link: https://www.econbiz.de/10001530431
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Efficient simulation of value-at-risk under a jump diffusion model : a new method for moderate deviation events
Fuh, Cheng-Der; Teng, Huei-Wen; Wang, Ren-Her - In: Computational economics 51 (2018) 4, pp. 973-990
Persistent link: https://www.econbiz.de/10011972209
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Nearly exact option price simulation using characteristic functions
Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10009685897
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Chi-square simulation of the CIR process and the Heston model
Malham, Simon J. A.; Wiese, Anke - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-38
Persistent link: https://www.econbiz.de/10009756062