Sökning: "Thomas Mikosch"

Hittade 1 avhandling innehållade orden Thomas Mikosch.

  1. 1. On Importance Sampling and Dependence Modeling

    Författare :Jens Svensson; Boualem Djehiche; Thomas Mikosch; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Mathematical statistics; Matematisk statistik;

    Sammanfattning : This thesis consists of four papers. In the first paper, Monte Carlo simulation for tail probabilities of heavy-tailed random walks is considered. Importance sampling algorithms are constructed by using mixtures of the original distribution with some other state-dependent distributions. LÄS MER