MCMC design-based non-parametric regression for rare event. application to nested risk computations

DOI10.1515/MCMA-2017-0101MaRDI QIDQ515537zbMATH OpenOpenAlexFDO

Authors Gersende Fort, Emmanuel Gobet, Eric Moulines

Publication date 16 March 2017

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma-2017-0101

zbMATH Keywords

least squares methodnumerical resultsalgorithmerror boundrare eventfinancial risknon-parametric regressionempirical regression schemeMarkov chain Monte Carlo sampler

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Nonparametric regression and quantile regression (62G08) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
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• Nested simulation in portfolio risk measurement
• Nonparametric regression with martingale increment errors
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• Practical drift conditions for subgeometric rates of convergence.
• Rare Event Simulation Using Reversible Shaking Transformations
• Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
• Regression methods for stochastic control problems and their convergence analysis
• Risk estimation via regression
• Sensitivity analysis of the Eisenberg-Noe model of contagion
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Cited in

(5)

• Transform MCMC schemes for sampling intractable factor copula models
• Risk estimation via regression
• Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement
• Quantitative bounds for concentration-of-measure inequalities and empirical regression: the independent case
• Technical Note—Bootstrap-based Budget Allocation for Nested Simulation

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