Single-index importance sampling with stratification

DOI10.1007/s11009-022-09970-1OpenAlexW3214291387MaRDI QIDQ2684956

Christiane Lemieux, Erik Hintz, Yoshihiro Taniguchi, Marius Hofert

Publication date: 17 February 2023

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.07542

zbMATH Keywords

importance samplingstratified samplingloss probabilitiesquasi-Monte Carlosingle-index model

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Portfolio theory (91G10)

Uses Software

• R
• Runuran

Cites Work

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