46 citations · 100 across the 18 of their papers we have counts for
4 papers · 1 filter
Efficient importance sampling for copula models
Siang Cheng, Cheng-Der Fuh, Tianxiao Pang
In this paper, we propose an efficient importance sampling algorithm for rare event simulation under copula models. In the algorithm, the derived optimal probability measure is bas…
A General Framework for Importance Sampling with Markov Random Walks
Cheng-Der Fuh, Yanwei Jia, Steven Kou
Although stochastic models driven by latent Markov processes are widely used, the classical importance sampling methods based on the exponential tilting for these models suffers fr…
On spherical Monte Carlo simulations for multivariate normal probabilities
Huei-Wen Teng, Ming-Hsuan Kang, Cheng-Der Fuh
The calculation of multivariate normal probabilities is of great importance in many statistical and economic applications. This paper proposes a spherical Monte Carlo method with b…
Estimation in hidden Markov models via efficient importance sampling
Cheng-Der Fuh, Inchi Hu
Given a sequence of observations from a discrete-time, finite-state hidden Markov model, we would like to estimate the sampling distribution of a statistic. The bootstrap method is…