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Chan, Joshua. C., Glynn, Peter W. and Kroese, Dirk P. (2011) A comparison of cross-entropy and variance minimization strategies. Journal of Applied Probability, 48 A 1-15. 127 4 Cited 9 times in Scopus9
Chan, Joshua C. C. and Kroese, Dirk P. (2010) Efficient estimation of large portfolio loss probabilities in t-copula models. European Journal of Operational Research, 205 2: 361-367. doi:10.1016/j.ejor.2010.01.003 97   12 Cited 13 times in Scopus13 0
Chan, Joshua C. C. and Jeliazkov, Ivan (2009) Efficient simulation and integrated likelihood estimation in state space models. International Journal of Mathematical Modelling and Numerical Optimisation, 1 1-2: 101-120. doi:10.1504/IJMMNO.2009.030090 123 509 Cited 14 times in Scopus14 0
Brereton, Tim J., Chan, Joshua C. C. and Kroese, Dirk P. (2011). Fitting mixture importance sampling distributions via improved cross-entropy. In: Proceedings of the 2011 Winter Simulation Conference. 2011 Winter Simulation Conference, Phoenix, AZ, United States, (422-428). 11-14 December 2011. doi:10.1109/WSC.2011.6147769 81 33 Cited 1 times in Scopus1 0
Chan, Joshua C.C. and Kroese, Dirk P. (2012) Improved cross-entropy method for estimation. Statistics and Computing, 22 5: 1031-1040. doi:10.1007/s11222-011-9275-7 38   6 Cited 7 times in Scopus7 1
Chan, Joshua C. C. and Eisenstat, Eric (2010). Marginal likelihood estimation with the cross-entropy method. Australian Research Council (Discovery Grant DP0985177 and DP0987170). , School of Economics, University of Queensland. 152 359
Brereton, Tim J., Kroese, Dirk P. and Chan, Joshua C. (2013). Monte Carlo methods for portfolio credit risk. In Daniel Rösch and Harald Scheule (Ed.), Credit securitisations and derivatives: challenges for the global markets (pp. 127-152) Chicester, United Kingdom: John Wiley & Sons. 56 4 0
Chan, Joshua C. C. and Kroese, Dirk P. (2011) Rare-event probability estimation with conditional Monte Carlo. Annals of Operations Research, 189 1: 43-61. doi:10.1007/s10479-009-0539-y 148   3 Cited 5 times in Scopus5 0
Kroese, Dirk P. and Chan, Joshua C. C. Statistical Modeling and Computation. New York, NY, United States: Springer New York, 2014. doi:10.1007/978-1-4614-8775-3 12   0
Chan, Joshua C. C., Koop, Gary, Leon-Gonzalez, Roberto and Strachan, Rodney W. (2012) Time varying dimension models. Journal of Business and Economic Statistics, 30 3: 358-367. doi:10.1080/07350015.2012.663258 26   6 Cited 9 times in Scopus9 0