Improving Loan Portfolio Optimization by Importance Sampling Techniques: Evidence on Italian Banking Books

2014 ◽  
Vol 43 (2) ◽  
pp. 167-191 ◽  
Author(s):  
Annalisa Di Clemente
Keyword(s):  
Portfolio Optimization ◽  
Importance Sampling ◽  
Sampling Techniques ◽  
Loan Portfolio ◽  
Importance Sampling Techniques

Accelerated Spike Resampling for Accurate Multiple Testing Controls

2013 ◽  
Vol 25 (2) ◽  
pp. 418-449 ◽  
Author(s):  
Matthew T. Harrison
Keyword(s):  
General Theory ◽  
Importance Sampling ◽  
Multiple Testing ◽  
Permutation Tests ◽  
Spike Trains ◽  
Sampling Techniques ◽  
Hypothesis Tests ◽  
Multiple Hypothesis ◽  
Importance Sampling Techniques ◽  
Lagged Correlation

Controlling for multiple hypothesis tests using standard spike resampling techniques often requires prohibitive amounts of computation. Importance sampling techniques can be used to accelerate the computation. The general theory is presented, along with specific examples for testing differences across conditions using permutation tests and for testing pairwise synchrony and precise lagged-correlation between many simultaneously recorded spike trains using interval jitter.

Sign in / Sign up

Export Citation Format

Share Document