Density Estimation by Randomized Quasi-Monte Carlo-Reference-Cited by-同舟云学术

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Density Estimation by Randomized Quasi-Monte Carlo

Published:2021-01 Issue:1 Volume:9 Page:280-301
ISSN:2166-2525
Container-title:SIAM/ASA Journal on Uncertainty Quantification
language:en
Short-container-title:SIAM/ASA J. Uncertainty Quantification

Author:

Ben Abdellah Amal,L'Ecuyer Pierre^ORCID,Owen Art B.,Puchhammer Florian^ORCID

Funder

Natural Sciences and Engineering Research Council of Canada

Division of Information and Intelligent Systems

Division of Mathematical Sciences

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Discrete Mathematics and Combinatorics,Statistics, Probability and Uncertainty,Modeling and Simulation,Statistics and Probability

Link

https://epubs.siam.org/doi/pdf/10.1137/19M1259213

Reference14 articles.

1. Valuation of mortgage-backed securities using Brownian bridges to reduce effective dimension

2. Combinatorics of Partial Derivatives

3. A Brief Survey of Bandwidth Selection for Density Estimation

4. Quasi-Monte Carlo methods with applications in finance

Cited by 7 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Multilevel Monte Carlo with Numerical Smoothing for Robust and Efficient Computation of Probabilities and Densities;SIAM Journal on Scientific Computing;2024-05-03

2. Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities;SIAM Journal on Numerical Analysis;2023-02-23

3. Likelihood Ratio Density Estimation for Simulation Models;2022 Winter Simulation Conference (WSC);2022-12-11

4. Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation;Finance and Stochastics;2022-09-15

5. Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning;INFORMS Journal on Computing;2022-05

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