Browsing Mathematics (Faculty of) by Author "Cambou, Mathieu"
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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 ...