Moderate deviation principles for importance sampling estimators of risk measures (Q4684867)

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scientific article; zbMATH DE number 6943574
Language Label Description Also known as
English
Moderate deviation principles for importance sampling estimators of risk measures
scientific article; zbMATH DE number 6943574

    Statements

    title
    Moderate deviation principles for importance sampling estimators of risk measures (English)
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    author
    Pierre Nyquist
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    publication date
    26 September 2018
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    zbMATH Keywords
    large deviation
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    moderate deviation
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    risk measure
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    empirical process
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    asymptotics
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    importance sampling
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    Monte Carlo
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    cites work
    Q4445179
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    Q3891485
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    Q4391441
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    Q5445400
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    Identifiers

    DOI
    10.1017/jpr.2017.13
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    Mathematics Subject Classification ID
    60F10
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    65C05
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    62F12
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    62P05
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    zbMATH DE Number
    6943574
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    OpenAlex ID
    W2704674373
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    Wikidata QID
    Q60110928
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