Efficient Importance Sampling for Copula Models with Applications
碩士 === 國立中央大學 === 統計研究所 === 102 === In this thesis, we propose an efficient importance sampling algorithm for rare event simulation under copula models. The derived optimal probability is based on the criterion of minimizing the variance of the Monte Carlo estimator within a parametric exponential t...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/gn7fhd |