Alternative Sampling Methods for Estimating Multivariate Normal Probabilities
نویسندگان
چکیده
We study the performance of alternative sampling methods for estimating multivariate normal probabilities through the GHK simulator. The sampling methods are randomized versions of some quasi-Monte Carlo samples (Halton, Niederreiter, Niederreiter-Xing sequences and lattice points) and some samples based on orthogonal arrays (Latin hypercube, orthogonal array and orthogonal array based Latin hypercube samples). In general, these samples turn out to have a better performance than Monte Carlo and antithetic Monte Carlo samples. Improvements over these are large for low-dimensional (4 and 10) cases and still signi...cant for dimensions as large as 50.
منابع مشابه
Mcmc Perspectives on Simulated Likelihood Estimation
A major stumbling block in multivariate discrete data analysis is the problem of evaluating the outcome probabilities that enter the likelihood function. Calculation of these probabilities involves high-dimensional integration, making simulation methods indispensable in both Bayesian and frequentist estimation and model choice. We review several existing probability estimators and then show tha...
متن کاملMethods for the Computation of Multivariate t - Probabilities ∗
This paper compares methods for the numerical computation of multivariate t-probabilities for hyperrectangular integration regions. Methods based on acceptance-rejection, spherical-radial transformations and separation-of-variables transformations are considered. Tests using randomly chosen problems show that the most efficient numerical methods use a transformation developed by Genz (1992) for...
متن کاملResampling Techniques for Estimating the Distribution of Descriptive Statistics of Functional Data
Re-sampling methods for estimating the distribution of descriptive statistics of functional data are considered. Through Monte-Carlo simulations, we compare the performance of several re-sampling methods commonly used for estimating the distribution of descriptive statistics. We introduce two re-sampling methods that rely on functional principal component analysis, where the scores were randoml...
متن کاملMultilevel Splitting for Estimating Rare Event Probabilities
The estimation of rare event probabilities poses some of the of the most di cult computational challenges for Monte Carlo simulation and, at the same time, some of the greatest opportunities for e ciency improvement through the use of variance reduction techniques. Current interest in rare events stems primarily from developments in computer and communications technology: many industrial and sc...
متن کاملDependence Properties and Bounds for Ruin Probabilities in Multivariate Compound Risk Models
In risk management, ignoring the dependence among various types of claims often results in over-estimating or under-estimating the ruin probabilities of a portfolio. This paper focuses on three commonly used ruin probabilities in multivariate compound risk models, and using the comparison methods, shows how some ruin probabilities increase, whereas the other decreases, as the claim dependence g...
متن کامل