Efficient simulation of tail probabilities for sums of log-elliptical risks
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Publication:1946192
DOI10.1016/j.cam.2012.11.025zbMath1270.91030arXiv1405.0607OpenAlexW2039551178MaRDI QIDQ1946192
Enkelejd Hashorva, Dominik Kortschak
Publication date: 18 April 2013
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1405.0607
asymptotically vanishing relative errorlog-elliptical distributionAsmussen-Kroese estimatorlog-Gaussian distributionRojas-Nandayapa estimator
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