Optimal \(L_2\)-norm empirical importance weights for the change of probability measure (Q2361444)
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scientific article; zbMATH DE number 6737688
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| English | Optimal \(L_2\)-norm empirical importance weights for the change of probability measure |
scientific article; zbMATH DE number 6737688 |
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Optimal \(L_2\)-norm empirical importance weights for the change of probability measure (English)
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30 June 2017
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change of measure
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empirical measure
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Radon-Nikodym theorem
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importance weight
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density ratio
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quadratic program
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0.735130250453949
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0.7228176593780518
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0.7120553255081177
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0.7119317650794983
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0.7117223143577576
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