Testing the assumptions behind importance sampling (Q302094)

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Testing the assumptions behind importance sampling
scientific article

    Statements

    title
    Testing the assumptions behind importance sampling (English)
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    author
    Siem Jan Koopman
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    Neil Shephard
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    Drew D. Creal
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    publication date
    4 July 2016
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    zbMATH Keywords
    extreme value theory
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    importance sampling
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    simulation
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    stochastic volatility
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    Identifiers

    Mathematics Subject Classification ID
    62P20
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    62G32
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    62-08
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    65C05
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    zbMATH DE Number
    6600647
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