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  • Search: subject:"importance sampling."
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Year of publication
Subject
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importance sampling 197 Importance sampling 146 Stichprobenerhebung 113 Sampling 112 Monte Carlo simulation 103 Theorie 93 Monte-Carlo-Simulation 88 Theory 68 Bayesian inference 58 Stochastischer Prozess 58 Stochastic process 51 Simulation 50 Statistische Verteilung 41 Importance Sampling 40 Schätztheorie 40 Bayes-Statistik 39 Estimation theory 38 Maximum likelihood estimation 37 Maximum-Likelihood-Schätzung 35 Markov chain Monte Carlo 33 Statistical distribution 30 Risikomaß 29 Option pricing theory 27 Optionspreistheorie 27 Risk measure 27 Prognoseverfahren 26 Volatilität 26 Zeitreihenanalyse 25 Zustandsraummodell 25 Stochastic volatility 24 Markov chain 23 Markov-Kette 23 Risikomanagement 23 Schätzung 23 Algorithmus 22 Risk management 22 Volatility 22 Metropolis-Hastings algorithm 21 Forecasting model 20 Estimation 19
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Online availability
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Free 291 Undetermined 138 CC license 8
Type of publication
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Book / Working Paper 285 Article 183 Other 2
Type of publication (narrower categories)
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Working Paper 120 Article in journal 79 Aufsatz in Zeitschrift 79 Graue Literatur 56 Non-commercial literature 56 Arbeitspapier 54 Article 7 Hochschulschrift 4 Thesis 3 research-article 2 Aufsatz im Buch 1 Book section 1
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Language
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English 249 Undetermined 220 French 1
Author
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Koopman, Siem Jan 68 Hoogerheide, Lennart 46 Dijk, Herman K. van 32 Liesenfeld, Roman 23 van Dijk, Herman K. 22 Ardia, David 20 Lucas, André 20 Richard, Jean-François 17 Opschoor, Anne 16 Basturk, Nalan 13 Mesters, Geert 12 Ridder, Ad 12 Hoogerheide, Lennart F. 11 Grassi, Stefano 10 Asai, Manabu 9 Marin, Jean-Michel 9 McAleer, Michael 9 Robert, Christian P. 9 Scharth, Marcel 9 Boots, Nam Kyoo 8 Bos, Charles S. 8 Lit, Rutger 8 Ooms, Marius 8 Borowska, Agnieszka 7 Dijk, H.K. van 7 Koopman, S.J. 7 Lucas, Andre 7 Moura, Guilherme V. 7 Paap, Richard 7 Shahabuddin, Perwez 7 Bos, C.S. 6 Dharmarajan, Hariharan 6 Kleppe, Tore Selland 6 Mandjes, Michel 6 Yu, Jun 6 DeJong, David Neil 5 Dufays, Arnaud 5 Hautsch, Nikolaus 5 Aßmann, Christian 4 Banachewicz, Konrad 4
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Institution
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Tinbergen Instituut 33 Tinbergen Institute 19 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 10 Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel 10 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 9 Erasmus University Rotterdam, Econometric Institute 7 Université Paris-Dauphine (Paris IX) 6 HAL 4 School of Economics, Singapore Management University 4 Society for Computational Economics - SCE 4 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 3 Université Paris-Dauphine 3 Departamento de Economía, Universidad Carlos III de Madrid 2 Departement für Quantitative Wirtschaftsforschung, Faculté des sciences économiques et sociales - Wirtschafts- und Sozialwissenschaftliche Fakultät 2 Department of Economics and Finance, College of Business and Economics 2 Department of Economics, Oxford University 2 Dipartimento di Economia e Management, Università degli Studi di Trento 2 EconWPA 2 Institute of Economic Research, Kyoto University 2 Tilburg University, Center for Economic Research 2 Bamberg Economic Research Group on Government and Growth (BERG), Volkswirtschaftslehre 1 Center for Financial Studies 1 Center for Quantitative Economics (CQE), Wirtschaftswissenschaftliche Fakultät 1 Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1 Cowles Foundation for Research in Economics, Yale University 1 Departament d'Economia Aplicada, Facultat de Ciències Econòmiques i Empresarials 1 Department of Economics, Rutgers University-New Brunswick 1 Department of Economics, University of Warwick 1 Deutsche Bundesbank 1 Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia 1 Duke University, Department of Economics 1 Economics Group, Nuffield College, University of Oxford 1 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 1 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 1 Faculteit Economie en Bedrijfskunde, Universiteit Gent 1 Grupo de Estudos Monetários e Financeiros (GEMF), Faculdade de Economia 1 Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain 1 International Institute of Social and Economic Sciences 1 Nationale Bank van België/Banque national de Belqique (BNB) 1 School of Economics and Management, University of Aarhus 1
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Published in...
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Tinbergen Institute Discussion Papers 52 Tinbergen Institute Discussion Paper 39 Discussion paper / Tinbergen Institute 37 Computational Statistics & Data Analysis 18 Econometric Institute Research Papers 10 Economics Working Paper 10 Economics Working Papers / Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel 10 MPRA Paper 9 Management Science 9 Econometric Institute Report 7 Economics Papers from University Paris Dauphine 6 Annals of the Institute of Statistical Mathematics 5 Econometric reviews 5 Journal of Econometrics 5 Risks : open access journal 5 Computational Statistics 4 Econometrics 4 Insurance / Mathematics & economics 4 International Journal of Theoretical and Applied Finance (IJTAF) 4 Operations research 4 Working Paper 4 Working Papers / School of Economics, Singapore Management University 4 Working paper / Department of Econometrics and Business Statistics, Monash University 4 CORE Discussion Papers 3 Computational economics 3 Econometric Reviews 3 European journal of operational research : EJOR 3 International journal of theoretical and applied finance 3 Journal of econometrics 3 Open Access publications from Université Paris-Dauphine 3 Psychometrika 3 Risks 3 Statistical Applications in Genetics and Molecular Biology 3 Statistics & Probability Letters 3 The journal of computational finance 3 Bozen economics & management paper series : BEMPS 2 CoFE Discussion Paper 2 Computational Management Science 2 Computing in Economics and Finance 2002 2 DQE Working Papers 2
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Source
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RePEc 250 ECONIS (ZBW) 139 EconStor 73 BASE 5 Other ZBW resources 3
Showing 171 - 180 of 470
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A class of adaptive EM-based importance sampling algorithms for efficient and robust posterior and predictive simulation
Hoogerheide, Lennart; Opschoor, Anne; Dijk, Herman K. van - 2011
target and mixture is minimized. We label this approach Mixture of t by Importance Sampling and Expectation Maximization …, we introduce a permutation-augmented MitISEM approach, for importance sampling from posterior distributions in mixture …
Persistent link: https://www.econbiz.de/10011382695
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Importance sampling for option Greeks with discontinuous payoffs
Tong, Shaolong; Liu, Guangwu - In: INFORMS journal on computing : JOC 28 (2016) 2, pp. 223-235
Persistent link: https://www.econbiz.de/10011489268
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Estimating stochastic volatility models using realized measures
Bekierman, Jeremias; Gribisch, Bastian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 3, pp. 279-300
Persistent link: https://www.econbiz.de/10011507527
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Improved variance reduced Monte-Carlo simulation of in-the-money options
Müller, Armin - In: Journal of mathematical finance 6 (2016) 3, pp. 361-367
Persistent link: https://www.econbiz.de/10011583475
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Monte Carlo maximum likelihood estimation for generalized long-memory time series models
Mesters, G.; Koopman, Siem Jan; Ooms, Marius - In: Econometric reviews 35 (2016) 1/4, pp. 659-687
Persistent link: https://www.econbiz.de/10011550112
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On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
Jiang, Guangxin; Xu, Chenglong; Fu, Michael - In: Operations research letters 44 (2016) 1, pp. 44-49
Persistent link: https://www.econbiz.de/10011455555
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On supremum-norm cost games
Meca, Ana; Sošić, Greys - In: Operations research letters 44 (2016) 1, pp. 54-58
Persistent link: https://www.econbiz.de/10011455558
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Efficient importance sampling in applied econometrics
Guilherme Valle Moura - 2010
, and thus have to be approximated numerically. Importance Sampling is a Monte Carlo simulation method often used to solve … high-dimensional integration. In the present work, the Efficient Importance Sampling method developed by Richard and Zhang … functions from different models. It was shown how importance sampling can be used to efficiently solve high dimensional …
Persistent link: https://www.econbiz.de/10009428978
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Efficient Bayesian Estimation and Combination of GARCH-Type Models
Ardia, David; Hoogerheide, Lennart F. - 2010
used in importance sampling for model estimation, model selection and model combination. The procedure is fully automatic …
Persistent link: https://www.econbiz.de/10010325655
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A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods
Ardia, David; Basturk, Nalan; Hoogerheide, Lennart; van … - 2010
quickly tuned adaptive candidate, straightforward importance sampling provides a computationally efficient estimator of the …
Persistent link: https://www.econbiz.de/10010325793
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