Naive method to test the convergence of simulation and its applications in the computation of bankruptcy probability
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Cites work
- scientific article; zbMATH DE number 5207903 (Why is no real title available?)
- A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
- Accounting for uncertainty in extremal dependence modeling using Bayesian model averaging techniques
- Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach
- Comparison of methodologies to assess the convergence of Markov chain Monte Carlo methods
- Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities
- Efficient Monte Carlo simulation via the generalized splitting method
- How Bayesian analysis cracked the red-state, blue-state problem
- Inference from iterative simulation using multiple sequences
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Stochastic Limit Theory
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