Testing the assumptions behind importance sampling
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Publication:302094
DOI10.1016/j.jeconom.2008.10.002zbMath1429.62681OpenAlexW2125581242MaRDI QIDQ302094
Siem Jan Koopman, Neil Shephard, Drew D. Creal
Publication date: 4 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.10.002
Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)
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