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]] _______________________________________________ R-SIG-Finance@r-project.org 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.