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 [email protected] http://idontgetoutmuch.wordpress.com > > Message: 1 > Date: Fri, 18 Sep 2015 13:33:00 -0500 > From: Daniel Melendez <[email protected]> > To: [email protected] > Subject: [R-SIG-Finance] Importance Sampling > Message-ID: > <CAEjpDDqWa7tvgbopbZJLX33aOUmYRv+6xn5iA40i62QhwszE=q...@mail.gmail.com> > Content-Type: text/plain; charset="UTF-8" > > 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 [[alternative HTML version deleted]] _______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
