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Browsing by Author Kroese, Dirk

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01_Chan_A_Comparison_of_Cross-Entropy_2011.pdf.jpg

A Comparison of Cross-Entropy and Variance Minimization Strategies

Author(s)Chan, Chi Chun (Joshua); Glynn, Peter W.; Kroese, Dirk
TypeJournal article
Date Published2011
Date Created-
01_Chan_Efficient_estimation_of_large_2010.pdf.jpg

Efficient estimation of large portfolio loss probabilities in t-copula models

Author(s)Chan, Chi Chun (Joshua); Kroese, Dirk
TypeJournal article
Date Published2010
Date Created-

Fitting mixture importance sampling distributions via improved cross-entropy

Author(s)Brereton, Tim J.; Chan, Chi Chun (Joshua); Kroese, Dirk
TypeConference paper
Date Published2011
Date CreatedDecember 11-14 2011
01_Chan_Improved_cross-entropy_method_2012.pdf.jpg

Improved cross-entropy method for estimation

Author(s)Chan, Chi Chun (Joshua); Kroese, Dirk
TypeJournal article
Date Published2012
Date Created-
02_Chan_Rare-event_probability_2011.pdf.jpg

Rare-event probability estimation with conditional Monte Carlo

Author(s)Chan, Chi Chun (Joshua); Kroese, Dirk
TypeJournal article
Date Published2011
Date Created-
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