Single-index importance sampling with stratification
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Publication:2684956
DOI10.1007/s11009-022-09970-1MaRDI QIDQ2684956
Christiane Lemieux, Marius Hofert, Erik Hintz, Yoshihiro Taniguchi
Publication date: 17 February 2023
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2111.07542
62H05: Characterization and structure theory for multivariate probability distributions; copulas
62D05: Sampling theory, sample surveys
65C05: Monte Carlo methods
91G10: Portfolio theory
Uses Software