Search Results - subject:"importance sampling."

Simulating tail probabilities in GI/GI.1 queues and insurance risk processes with subexponentail distributions

Boots, Nam Kyoo; Shahabuddin, Perwez - 2001

This paper deals with estimating small tail probabilities of thesteady-state waiting time in a GI/GI/1 queue withheavy-tailed (subexponential) service times. The problem ofestimating infinite horizon ruin probabilities in insurancerisk processes with heavy-tailed claims can be transformed into...

Persistent link: https://www.econbiz.de/10011313925

Fast simulation of a queue fed by a superposition of many (heavy-tailed) sources

Boots, Nam Kyoo; Mandjes, Michel - 2001

), importance sampling with an exponential change of measureessentially goes through, irrespective of the on-times being heavy … relying on large buffer asymptotics).We provide numerical examples to show that the resulting importance sampling procedure …

Persistent link: https://www.econbiz.de/10011316865

A new use of importance sampling to reduce computational burden in simulation estimation

Ackerberg, Daniel - In: Quantitative Marketing and Economics 7 (2009) 4, pp. 343-376

Persistent link: https://www.econbiz.de/10008565172

Generalized Safety First and a New Twist on Portfolio Performance

Haley, M. Ryan; Whiteman, Charles - In: Econometric Reviews 27 (2008) 4-6, pp. 457-483

-shortfall distribution is the same as that between the source density and the target density in importance sampling. Thus Geweke's (1989 … of the decay rate maximizing criterion in terms of a one-shot problem enables us to use the tools of importance sampling …

Persistent link: https://www.econbiz.de/10005511916

A Composite-Conditional-Likelihood Approach for Gene Mapping Based on Linkage Disequilibrium in Windows of Marker Loci

Larribe, Fabrice; Lessard, Sabin - In: Statistical Applications in Genetics and Molecular Biology 7 (2008) 1, pp. 27-27

) using the ancestral recombination graph (ARG) and importance sampling to reconstruct the genealogy of DNA sequences with …

Persistent link: https://www.econbiz.de/10005046593

Modify IPA for quality improvement: Taguchi's signal‐to‐noise ratio approach

Lee, Yu‐Cheng; Yen, Tieh‐Min; Tsai, Chih‐Hung - In: The TQM Journal 20 (2008) 5, pp. 488-501

Purpose – Importance performance analysis (IPA) is a technique widely used to assist organisations in developing marketing strategies and improving products or service quality. Many scholars have revised IPA to augment its effectiveness. However, this involves some unknown problems that could...

Persistent link: https://www.econbiz.de/10015031825

An Efficient MCMC Algorithm to Sample Binary Matrices with Fixed Marginals

Verhelst, Norman - In: Psychometrika 73 (2008) 4, pp. 705-728

Persistent link: https://www.econbiz.de/10005603417

Optimal importance sampling with explicit formulas in continuous time

Guasoni, Paolo; Robertson, Scott - In: Finance and Stochastics 12 (2008) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10005613400

Direct importance estimation for covariate shift adaptation

Sugiyama, Masashi; Suzuki, Taiji; Nakajima, Shinichi; … - In: Annals of the Institute of Statistical Mathematics 60 (2008) 4, pp. 699-746

Persistent link: https://www.econbiz.de/10005616154

Importance Sampling for the Infinite Sites Model

Hobolth, Asger; Uyenoyama, Marcy; Wiuf, Carsten - In: Statistical Applications in Genetics and Molecular Biology 7 (2008) 1, pp. 32-32

Importance sampling or Markov Chain Monte Carlo sampling is required for state-of-the-art statistical analysis of … distribution. In this paper, we discuss importance sampling for the infinite sites model. The infinite sites assumption is …

Persistent link: https://www.econbiz.de/10005752551