Nonlinear and nonnormal filter using importance sampling: antithetic monte carlo integration
Work
Year: 1999
Type: article
Abstract: In this paper, the importance sampling filter proposed by Mariano and Tanizaki (1995), Tanizaki (1996), Tanizaki and Mariano (1994) is extended using the antithetic Monte Carlo method to reduce the si... more
Author Hisashi Tanizaki
Institution Kobe University
Cites: 35
Cited by: 9
Related to: 10
FWCI: 1.429
Citation percentile (by year/subfield): 70
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green