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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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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/10014203542
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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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A comparative study of the performance of estimating long-memory parameter using wavelet-based entropies
Boubaker, Heni - In: Computational economics 48 (2016) 4, pp. 693-731
Persistent link: https://www.econbiz.de/10011713102
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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 … simulation to the normal simulation. …
Persistent link: https://www.econbiz.de/10011334846
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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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Estimation of agent-based models using sequential Monte Carlo methods
Lux, Thomas - 2017
resorted to simulation-based methods mostly using some form of simulated method of moments estimation (SMM). There is, however …
Persistent link: https://www.econbiz.de/10011748807
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Estimation of agent-based models using sequential Monte Carlo methods
Lux, Thomas - In: Journal of economic dynamics & control 91 (2018), pp. 391-408
Persistent link: https://www.econbiz.de/10011974212
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Particle rolling mcmc with double-block sampling
Awaya, Naoki; Omori, Yasuhiro - 2021
Persistent link: https://www.econbiz.de/10013339020