Latin hypercube sampling with dependence and applications in finance
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Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Measures of association (correlation, canonical correlation, etc.) (62H20) Factorial statistical designs (62K15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)
Recommendations
- A central limit theorem for Latin hypercube sampling with dependence and application to exotic basket option pricing
- On Latin hypercube sampling
- Quantile estimation with Latin hypercube sampling
- Some large deviations results for Latin hypercube sampling
- On reduction of finite-sample variance by extended Latin hypercube sampling
- scientific article; zbMATH DE number 410129
Cited in
(11)- Smooth bootstrapping of copula functionals
- Variance reduction for sequential sampling in stochastic programming
- Copula based hierarchical risk aggregation through sample reordering
- Consistency of randomized integration methods
- Large Sample Properties of Simulations Using Latin Hypercube Sampling
- Optimal bounds for integrals with respect to copulas and applications
- scientific article; zbMATH DE number 410129 (Why is no real title available?)
- Latin supercube sampling for very high-dimensional simulations
- A central limit theorem for Latin hypercube sampling with dependence and application to exotic basket option pricing
- Adaptive refined descriptive sampling algorithm for dependent variables using Iman and Conover method in Monte Carlo simulation
- Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions
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