Now showing items 1-3 of 3

    • Dependence concepts and selection criteria for lattice rules 

      Taniguchi, Yoshihiro (University of Waterloo, 2014-01-24)
      Lemieux recently proposed a new approach that studies randomized quasi-Monte Carlothrough dependency concepts. By analyzing the dependency structure of a rank-1 lattice,Lemieux proposed a copula-based criterion with which ...
    • Importance Sampling and Stratification for Copula Models 

      Arbenz, Philipp; Cambou, Mathieu; Hofert, Marius; Lemieux, Christiane; Taniguchi, Yoshihiro (Springer, 2018)
      An importance sampling approach for sampling from copula models is introduced. The proposed algorithm improves Monte Carlo estimators when the functional of interest depends mainly on the behaviour of the underlying random ...
    • Importance Sampling and Stratification Techniques for Multivariate Models with Low-Dimentional Structures 

      Taniguchi, Yoshihiro (University of Waterloo, 2017-12-22)
      Many problems in finance and risk management involve the computation of quantities related to rare-event analysis. As many financial problems are high-dimensional, the quan- tities of interest rarely have analytical forms ...


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