Adaptive importance sampling for simulating copula-based distributions
DOI10.1016/J.INSMATHECO.2010.11.004zbMATH Open1232.62082OpenAlexW1968895336MaRDI QIDQ2276225FDOQ2276225
Authors: Marco Bee 
Publication date: 1 August 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.11.004
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Cites Work
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- Sampling from Archimedean copulas
- Empirical properties of asset returns: stylized facts and statistical issues
- Families of Multivariate Distributions
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- The transform likelihood ratio method for rare event simulation with heavy tails
- Simulating from Exchangeable Archimedean Copulas
- Sampling Archimedean copulas
- HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY
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