Single-index importance sampling with stratification

DOI10.1007/s11009-022-09970-1MaRDI QIDQ2684956

Christiane Lemieux, Erik Hintz, Yoshihiro Taniguchi, Marius Hofert

Publication date: 17 February 2023

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.07542

zbMATH Keywords

importance sampling; stratified sampling; loss probabilities; quasi-Monte Carlo; single-index model

Mathematics Subject Classification ID

62H05: Characterization and structure theory for multivariate probability distributions; copulas

62D05: Sampling theory, sample surveys

65C05: Monte Carlo methods

91G10: Portfolio theory

Uses Software

• R
• Runuran

Cites Work

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