Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk.
Lihua SunL. Jeff HongPublished in: Oper. Res. Lett. (2010)
Keyphrases
- importance sampling
- large deviations
- variance estimator
- monte carlo
- variance reduction
- markov chain
- kalman filter
- rare events
- approximate inference
- particle filtering
- particle filter
- confidence intervals
- worst case
- posterior distribution
- feature selection
- markov chain monte carlo
- random variables
- active learning
- reinforcement learning