Applications of Multivariate Quasi-Random Sampling with Neural Networks

DOI10.1007/978-3-030-98319-2_14arXiv2012.08036OpenAlexW3112111492MaRDI QIDQ6154301

Avinash Prasad, Mu Zhu, Marius Hofert

Publication date: 14 February 2024

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.08036

zbMATH Keywords

copulaspredictive distributionsquasi-random samplingARMA-GARCHgenerative moment matching networksAmerican basket option pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Artificial neural networks and deep learning (68T07) Monte Carlo methods (65C05)

Cites Work

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• An introduction to copulas.
• On the covariance of the asymptotic empirical copula process
• Testing for equality between two copulas
• Generalized autoregressive conditional heteroscedasticity
• Monte Carlo and quasi-Monte Carlo sampling
• ARMA MODELS WITH ARCH ERRORS
• Elements of Copula Modeling with R

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