Monte Carlo estimation of the density of the sum of dependent random variables

DOI10.1016/j.matcom.2018.12.001OpenAlexW2962877419WikidataQ128784003 ScholiaQ128784003MaRDI QIDQ1997555

Robert Salomone, Patrick J. Laub, Zdravko I. Botev

Publication date: 2 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.11218

zbMATH Keywords

density estimationsums of random variablesconditional Monte Carlolikelihood ratio methodsensitivity estimator

Mathematics Subject Classification ID

Statistics (62-XX) Applications of statistics (62Pxx)

Related Items (2)

Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning ⋮ Density Estimation by Monte Carlo and Quasi-Monte Carlo

Uses Software

• QRM

Cites Work

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• A Unified View of the IPA, SF, and LR Gradient Estimation Techniques
• A First Look at Rigorous Probability Theory
• Sensitivity Analysis for Simulations via Likelihood Ratios
• Approximating the Laplace transform of the sum of dependent lognormals
• Improved algorithms for rare event simulation with heavy tails

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