Estimates and confidence intervals for importance sampling sensitivity analysis
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Publication:1921102
DOI10.1016/0895-7177(96)00041-6zbMath0855.62020MaRDI QIDQ1921102
Publication date: 11 August 1996
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0895-7177(96)00041-6
confidence intervals; simulation; sensitivity analysis; Monte Carlo; importance sampling; perturbations; variance reduction; score function; likelihood ratio method
62F25: Parametric tolerance and confidence regions
65C99: Probabilistic methods, stochastic differential equations
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