Tag: Delta Method
Exponential Twisting in Importance Sampling
This note is based on Ma, J., Du, K., & Gu, G. (2019). An efficient exponential twisting importance sampling technique for pricing financial derivatives. Communications in Statistics - Theory and Methods, 48(2), 203–219.
Frequentist Accuracy of Bayesian Estimates
This note is for Efron’s slide: Frequentist Accuracy of Bayesian Estimates, which is recommended by Larry’s post: Shaking the Bayesian Machine.