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)
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- scientific article; zbMATH DE number 410129
Cited in
(10)- Optimal bounds for integrals with respect to copulas and applications
- scientific article; zbMATH DE number 410129 (Why is no real title available?)
- Variance reduction for sequential sampling in stochastic programming
- A central limit theorem for Latin hypercube sampling with dependence and application to exotic basket option pricing
- Large Sample Properties of Simulations Using Latin Hypercube Sampling
- Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions
- Smooth bootstrapping of copula functionals
- Copula based hierarchical risk aggregation through sample reordering
- Consistency of randomized integration methods
- Adaptive refined descriptive sampling algorithm for dependent variables using Iman and Conover method in Monte Carlo simulation
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