Showing 1 - 5 of 5
In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...
Persistent link: https://www.econbiz.de/10011431354
Persistent link: https://www.econbiz.de/10009305691
Persistent link: https://www.econbiz.de/10010251627
Persistent link: https://www.econbiz.de/10014483198
Persistent link: https://www.econbiz.de/10015408418