Better confidence intervals for importance sampling

DOI10.1142/S0219024910006200MaRDI QIDQ3067164zbMATH OpenOpenAlexFDO

Authors Halis Sak, Wolfgang Hörmann, Josef Leydold

Publication date 20 January 2011

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024910006200

zbMATH Keywords

confidence intervalsHall's transformationimportance samplingquantitative risk managementskewness removal

Mathematics Subject Classification ID

Credit risk (91G40) Statistical methods; risk measures (91G70)

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Cites work

• A Confidence Interval and Test for the Mean of an Asymmetric Distribution
• Asymptotically optimal importance sampling and stratification for pricing path-dependent options
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Importance sampling for portfolio credit risk
• Nonparametric confidence intervals for the one- and two-sample problems

Cited in

(3)

• Testing the assumptions behind importance sampling
• Importance Sampling for Bootstrap Confidence Intervals
• IMPROVING THE NORMALIZED IMPORTANCE SAMPLING ESTIMATOR

Describes a project that uses

Uses Software

• QRM

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