Quotation Sak, Halis, Hörmann, Wolfgang, Leydold, Josef. 2010. Better Confidence Intervals for Importance Sampling. Research Report Series, Institute for Statistics and Mathematics, Report 106.


RIS


BibTeX

Abstract

It is well known that for highly skewed distributions the standard method of using the t statistic for the confidence interval of the mean does not give robust results. This is an important problem for importance sampling (IS) as its final distribution is often skewed due to a heavy tailed weight distribution. In this paper, we first explain Hall's transformation and its variants to correct the confidence interval of the mean and then evaluate the performance of these methods for two numerical examples from finance which have closed-form solutions. Finally, we assess the performance of these methods for credit risk examples. Our numerical results suggest that Hall's transformation or one of its variants can be safely used in correcting the two-sided confidence intervals of financial simulations.

Tags

Press 'enter' for creating the tag

Publication's profile

Status of publication Published
Affiliation WU
Type of publication Working/discussion paper, preprint
Language English
Title Better Confidence Intervals for Importance Sampling
Title of whole publication Research Report Series, Institute for Statistics and Mathematics, Report 106
Year 2010
URL http://epub.wu.ac.at/3017/

Associations

People
Sak, Halis (Former researcher)
Hörmann, Wolfgang (Former researcher)
Leydold, Josef (Details)
Organization
Institute for Statistics and Mathematics IN (Details)
Research Institute for Computational Methods FI (Details)
Google Scholar: Search