A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis.
Helmut HerwartzIsrael WaichmanPublished in: Comput. Stat. (2010)
Keyphrases
- monte carlo
- monte carlo methods
- monte carlo simulation
- markov chain
- importance sampling
- monte carlo tree search
- simulation study
- particle filter
- markovian decision
- monte carlo method
- temporal difference
- stochastic approximation
- global illumination
- matrix inversion
- game tree search
- adaptive sampling
- quasi monte carlo
- sample size