Importance Sampling and Stratification for Copula Models

DOI10.1007/978-3-319-72456-0_4zbMath1405.65005OpenAlexW2803900512MaRDI QIDQ4611794

Philipp Arbenz, Christiane Lemieux, Yoshihiro Taniguchi, Marius Hofert, Mathieu Cambou

Publication date: 22 January 2019

Published in: Contemporary Computational Mathematics - A Celebration of the 80th Birthday of Ian Sloan (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10012/15230

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Monte Carlo methods (65C05)

Related Items

Single-index importance sampling with stratification, A weighted discrepancy bound of quasi-Monte Carlo importance sampling, Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models

Uses Software

• nacopula
• copula
• QRM
• Rugarch
• copula
• spd

Cites Work

• Unnamed Item
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• Monte Carlo and quasi-Monte Carlo sampling
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• Random variate generation by numerical inversion when only the density is known
• Families of Multivariate Distributions
• Weighted Average Importance Sampling and Defensive Mixture Distributions
• On the distribution of points in a cube and the approximate evaluation of integrals
• Probability