Sampling the multivariate standard normal distribution under a weighted sum constraint

Statistical modeling techniques-and factor models in particular-are extensively used in practice, especially in the insurance and finance industry, where many risks have to be accounted for. In risk management applications, it might be important to analyze the situation when fixing the value of a we...
Ausführliche Beschreibung

Gespeichert in:

Autor*in:	Frédéric, Vrins [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	September 2018

Übergeordnetes Werk:	Enthalten in: Risks - Basel : MDPI, 2013, 6(2018), 3 vom: Sept., Seite 1-13
Übergeordnetes Werk:	volume:6 ; year:2018 ; number:3 ; month:09 ; pages:1-13

Links:	Volltext Volltext Volltext Terms of use

DOI / URN:	10.3390/risks6030064

Katalog-ID:	1025682807

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author	Frédéric, Vrins
spellingShingle	Frédéric, Vrins 26 conditional distribution 26 conditional sampling 26 multi-factor models Sampling the multivariate standard normal distribution under a weighted sum constraint
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topic_title	26 00 DE-206 56 conditional distribution 26 00 DE-206 56 conditional sampling 26 00 DE-206 56 multi-factor models Sampling the multivariate standard normal distribution under a weighted sum constraint Frédéric Vrins
topic	26 conditional distribution 26 conditional sampling 26 multi-factor models
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title	Sampling the multivariate standard normal distribution under a weighted sum constraint
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title_full	Sampling the multivariate standard normal distribution under a weighted sum constraint Frédéric Vrins
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author-letter	Frédéric, Vrins
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title_sort	sampling the multivariate standard normal distribution under a weighted sum constraint
title_auth	Sampling the multivariate standard normal distribution under a weighted sum constraint
abstract	Statistical modeling techniques-and factor models in particular-are extensively used in practice, especially in the insurance and finance industry, where many risks have to be accounted for. In risk management applications, it might be important to analyze the situation when fixing the value of a weighted sum of factors, for example to a given quantile...
abstractGer	Statistical modeling techniques-and factor models in particular-are extensively used in practice, especially in the insurance and finance industry, where many risks have to be accounted for. In risk management applications, it might be important to analyze the situation when fixing the value of a weighted sum of factors, for example to a given quantile...
abstract_unstemmed	Statistical modeling techniques-and factor models in particular-are extensively used in practice, especially in the insurance and finance industry, where many risks have to be accounted for. In risk management applications, it might be important to analyze the situation when fixing the value of a weighted sum of factors, for example to a given quantile...
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title_short	Sampling the multivariate standard normal distribution under a weighted sum constraint
url	http://hdl.handle.net/10419/195858 https://doi.org/10.3390/risks6030064 http://www.mdpi.com/2227-9091/6/3/64/pdf http://creativecommons.org/licenses/by/4.0/
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Sampling the multivariate standard normal distribution under a weighted sum constraint

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