46 citations · 100 across the 18 of their papers we have counts for
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stat.CO2013
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…
stat.ME2013★ 2 cited
Efficient Importance Sampling for Rare Event Simulation with Applications
Cheng-Der Fuh, Huei-Wen Teng, Ren-Her Wang
Importance sampling has been known as a powerful tool to reduce the variance of Monte Carlo estimator for rare event simulation. Based on the criterion of minimizing the variance o…