Quantile Estimation with Adaptive Importance Sampling
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Auteur(s)
Leippold, Markus
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Texte intégral indisponibleTexte intégral indisponibleDescription
We introduce new quantile estimators with adaptive importance sampling. The adaptive estimators are based on weighted samples that are neither independent nor identically distributed. Using a new law of iterated logarithm for martingales, we prove the convergence of the adaptive quantile estimators for general distributions with nonunique quantiles, thereby extending the work of Feldman and Tucker. We illustrate the algorithm with an example from credit portfolio risk analysis.
Institution partenaire
Langue
English
Date
2010
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