[R-SIG-Finance] Importance Sampling

Daniel Melendez danielmelendez at alum.northwestern.edu
Fri Sep 18 20:33:00 CEST 2015

Hello All -

I am trying to simulate rare events (alpha = 0.001) using importance
sampling.  I currently have estimated parameters for an NIG distribution
but I am stuck on how to exactly choose the competing density?  Has anyone
ever used such a technique?  Any guidance would be greatly appreciated


Daniel Melendez


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