Computationally Efficient Nonparametric Importance Sampling

DOI10.1198/jasa.2009.0122zbMath1388.62015arXiv0805.3591OpenAlexW2011510073MaRDI QIDQ5252148

Jan C. Neddermeyer

Publication date: 29 May 2015

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0805.3591

zbMATH Keywords

rare eventsoption pricingMonte Carlo integrationqueuing systemmultivariate frequency polygon

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Density estimation (62G07) Sampling theory, sample surveys (62D05)

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Non-parametric partial importance sampling for financial derivative pricing ⋮ Nonparametric particle filtering and smoothing with quasi-Monte Carlo sampling ⋮ Importance Sampling in Stochastic Programming: A Markov Chain Monte Carlo Approach ⋮ Bayesian inference of multivariate rotated GARCH models with skew returns ⋮ Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models ⋮ Nonparametric quantile estimation using importance sampling ⋮ Safe adaptive importance sampling: a mixture approach ⋮ Nonparametric quantile estimation using surrogate models and importance sampling ⋮ Nonparametric importance sampling for wind turbine reliability analysis with stochastic computer models ⋮ Importance sampling and its optimality for stochastic simulation models

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