MCMC design-based non-parametric regression for rare event. application to nested risk computations
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Publication:515537
DOI10.1515/mcma-2017-0101zbMath1360.65024OpenAlexW2585015364MaRDI QIDQ515537
Emmanuel Gobet, Gersende Fort, Eric Moulines
Publication date: 16 March 2017
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma-2017-0101
algorithmnumerical resultserror boundleast squares methodfinancial riskrare eventnon-parametric regressionempirical regression schemeMarkov chain Monte Carlo sampler
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