[R-SIG-Finance] Importance Sampling

Dominic Steinitz idontgetoutmuch at googlemail.com
Sat Sep 19 17:58:58 CEST 2015

alpha is just a parameter. Which rare event are you trying to
estimate? Do you have a RV which is NIG and you wish to estimate a
rare event for that RV?

Dominic Steinitz
dominic at steinitz.org

> Message: 1
> Date: Fri, 18 Sep 2015 13:33:00 -0500
> From: Daniel Melendez <danielmelendez at alum.northwestern.edu>
> To: r-sig-finance at r-project.org
> Subject: [R-SIG-Finance] Importance Sampling
> Message-ID:
>       <CAEjpDDqWa7tvgbopbZJLX33aOUmYRv+6xn5iA40i62QhwszE=Q at mail.gmail.com>
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> 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

> --
> Regards
> Daniel Melendez

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