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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 281 - 290 of 470
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Bounding rare event probabilities in computer experiments
Auffray, Yves; Barbillon, Pierre; Marin, Jean-Michel - In: Computational Statistics & Data Analysis 80 (2014) C, pp. 153-166
is why a strategy based on importance sampling methods is proposed. This strategy relies on Kriging meta-modeling and …
Persistent link: https://www.econbiz.de/10010906926
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Efficient estimation of the link function parameter in a robust Bayesian binary regression model
Roy, Vivekananda - In: Computational Statistics & Data Analysis 73 (2014) C, pp. 87-102
It is known that the robit regression model for binary data is a robust alternative to the more popular probit and logistic models. The robit model is obtained by replacing the normal distribution in the probit regression model with the Student’s t distribution. Unlike the probit and logistic...
Persistent link: https://www.econbiz.de/10011056538
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Efficient estimation of conditionally linear and Gaussian state space models
Moura, Guilherme V.; Turatti, Douglas Eduardo - In: Economics Letters 124 (2014) 3, pp. 494-499
importance sampling together with a Rao-Blackwellization step are used to construct a highly efficient estimation method that …
Persistent link: https://www.econbiz.de/10010930700
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Nonparametric recursive quantile estimation
Kohler, Michael; Krzyżak, Adam; Walk, Harro - In: Statistics & Probability Letters 93 (2014) C, pp. 102-107
-times continuously differentiable. It is shown that an importance sampling Robbins–Monro type quantile estimate achieves for 0<p≤d the …
Persistent link: https://www.econbiz.de/10011039780
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Permanents, <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$\alpha $$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi mathvariant="italic">α</mi> </math> </EquationSource> </InlineEquation>-permanents and Sinkhorn balancing
Sullivan, Francis; Beichl, Isabel - In: Computational Statistics 29 (2014) 6, pp. 1793-1798
The method of Sinkhorn balancing that starts with a non-negative square matrix and iterates to produce a related doubly stochastic matrix has been used with some success to estimate the values of the permanent in some cases of physical interest. However, it is often claimed that Sinkhorn...
Persistent link: https://www.econbiz.de/10011151865
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Counting subsets of contingency tables
Fishman, George - In: Computational Statistics 29 (2014) 1, pp. 159-187
> </InlineEquation>. Additional comparison with sequential importance sampling estimates favors the latter for small dimensional tables …
Persistent link: https://www.econbiz.de/10010998521
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Mixtures of skewed Kalman filters
Kim, Hyoung-Moon; Ryu, Duchwan; Mallick, Bani K.; … - In: Journal of Multivariate Analysis 123 (2014) C, pp. 228-251
Normal state-space models are prevalent, but to increase the applicability of the Kalman filter, we propose mixtures of skewed, and extended skewed, Kalman filters. To do so, the closed skew-normal distribution is extended to a scale mixture class of closed skew-normal distributions. Some basic...
Persistent link: https://www.econbiz.de/10010718991
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Understanding financial market volatility
Opschoor, Anne - 2014
Persistent link: https://www.econbiz.de/10010231651
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Contagion of sovereign debt in the Eurozone
Ayala, Astrid; Blazsek, Szabolcs - In: Theoretical economics letters 4 (2014) 1, pp. 98-109
Persistent link: https://www.econbiz.de/10010373226
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VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang; Liu, Wei-han; Chen, Tzu-ying - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
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