| Efficient Importance Sampling for Rare Event Simulation with Applications | |
|---|---|
| 學年 | 100 |
| 學期 | 1 |
| 發表日期 | 2011-12-20 |
| 作品名稱 | Efficient Importance Sampling for Rare Event Simulation with Applications |
| 作品名稱（其他語言） | |
| 著者 | Fuh, Cheng-der; Teng, Huei-Wen; Wang, Ren-Her |
| 作品所屬單位 | 淡江大學財務金融學系 |
| 出版者 | |
| 會議名稱 | International Workshop on Statistical Computing in Quantitative Finance and Biostatistics: A Satellite Meeting for the 7th IASC-ARS Conference |
| 會議地點 | Taichung, Taiwan |
| 摘要 | Importance sampling has been known as a powerful tool to reduce the variance of Monte Carlo estimator for rare event simulation. Based on the criterion of minimizing the variance of Monte Carlo estimator, we propose a simple general account for finding the optimal tilting measure. To this end, we first obtain an explicit expression of the optimal alternative distribution, and then propose a recursive approximation algorithm for the tilting measure. The proposed algorithm is quite general to cover many interesting examples and can also be applied to a locally asymptotically normal (LAN) family around the original distribution. To illustrate the broad applicability of our method, we study value-at-risk (VaR) computation in financial risk management, and bootstrap confidence regions in statistical inferences. |
| 關鍵字 | Bootstrap;Confidence region;Exponential tilting;Local asymptotic normal;Moderate deviation;Value at Risk |
| 語言 | en |
| 收錄於 | |
| 會議性質 | 國內 |
| 校內研討會地點 | |
| 研討會時間 | 20111220~20111221 |
| 通訊作者 | |
| 國別 | TWN |
| 公開徵稿 | Y |
| 出版型式 | |
| 出處 | International Workshop on Statistical Computing in Quantitative Finance and Biostatistics: A Satellite Meeting for the 7th IASC-ARS Conference |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/88839 ) |
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