Computationally efficient nonparametric importance sampling

Journal of the American Statistical Association

Volumn 104, Issue 486, 2009, Pages 788-802

  Neddermeyer, Jan C ^a  

^a UNIVERSITY OF HEIDELBERG   (Germany)

Author keywords

Monte Carlo integration; Multivariate frequency polygon; Nonparametric density estimation; Option pricing; Queuing system; Rare event simulation

Indexed keywords

EID: 66549130618     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/jasa.2009.0122     Document Type: Article

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