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

DOI10.1515/MCMA-2017-0101zbMATH Open1360.65024OpenAlexW2585015364MaRDI QIDQ515537FDOQ515537

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

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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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• Rare Event Simulation Using Reversible Shaking Transformations
• A note on nonparametric regression with \(\beta\)-mixing sequences
• Sensitivity analysis of the Eisenberg-Noe model of contagion
• Nonparametric regression with martingale increment errors

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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