Naive method to test the convergence of simulation and its applications in the computation of bankruptcy probability

DOI10.1080/00949655.2015.1057822OpenAlexW1925059330MaRDI QIDQ5222403FDOQ5222403

Authors: Xianfeng Jiang, Li Li 

Publication date: 1 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2015.1057822

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zbMATH Keywords

bankruptcy probabilitynaive methodsimulation convergence

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Inference from iterative simulation using multiple sequences
• Stochastic Limit Theory
• Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach
• Accounting for uncertainty in extremal dependence modeling using Bayesian model averaging techniques
• How Bayesian analysis cracked the red-state, blue-state problem
• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
• Title not available (Why is that?)
• Efficient Monte Carlo simulation via the generalized splitting method
• Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities
• Comparison of methodologies to assess the convergence of Markov chain Monte Carlo methods

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