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The Cross-Entropy Method with Patching for Rare-Event Simulation of Large Markov Chains
Kaynar, Bahar; Ridder, Ad - 2009
which partitions the state space and applies the cross-entropy method to each partition. We investigate two versions of our …
Persistent link: https://www.econbiz.de/10014203542
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The cross-entropy method with patching for rare-event simulation of large Markov chains
Kaynar, Bahar; Ridder, Ad - 2009
which partitions the state space and applies the cross-entropy method to each partition. We investigate two versions of our …
Persistent link: https://www.econbiz.de/10011379128
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The cross-entopy method with patching for rare-event simulation of large Markov chains
Kaynar, Bahar; Ridder, Ad - 2009
Persistent link: https://www.econbiz.de/10003888073
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A comparative study of the performance of estimating long-memory parameter using wavelet-based entropies
Boubaker, Heni - In: Computational economics 48 (2016) 4, pp. 693-731
Persistent link: https://www.econbiz.de/10011713102
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Importance sampling simulations Markovian reliability systems using cross entropy
Ridder, Ad - 2004
Persistent link: https://www.econbiz.de/10001928203
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Semiparametric cross entropy for rare-event simulation
Botev, Zdravko I.; Ridder, Ad; Rojas-Nandayapa, Leonardo - 2013
Persistent link: https://www.econbiz.de/10010191281
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Option pricing with a levy-type stochastic dynamic model for stock price process under semi-Markovian structural perturbations
Assonken, Patrick; Ladde, Gangaram S. - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-72
Persistent link: https://www.econbiz.de/10011419362
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Importance sampling simulations of Markovian reliability systems using cross entropy
Ridder, Ad - 2004
This paper reports simulation experiments, applying the cross entropy method suchas the importance sampling algorithm … simulation to the normal simulation. …
Persistent link: https://www.econbiz.de/10011334846
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Post-audits for managing cyber security investments : Bayesian post-audit using Markov Chain Monte Carlo (MCMC) simulation
Herath, Hemantha S. B.; Herath, Tejaswini C. - In: Journal of accounting and public policy 37 (2018) 6, pp. 545-563
Persistent link: https://www.econbiz.de/10011977467
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Modelling Stochastic Volatility with Leverage and Jumps : A Simulated Maximum Likelihood Approach via Particle Filtering
Malik, Sheheryar; Pitt, Michael K. - 2011
In this paper we provide a unified methodology for conducting likelihood-based inference on the unknown parameters of a general class of discrete-time stochastic volatility (SV) models, characterized by both a leverage effect and jumps in returns. Given the nonlinear/non-Gaussian state-space...
Persistent link: https://www.econbiz.de/10014185810