Efficient Estimation in the Tails of Gaussian Copulas

5 Jul 2016Kalyani NagarajJie XuRaghu PasupathySoumyadip Ghosh

We consider the question of efficient estimation in the tails of Gaussian copulas. Our special focus is estimating expectations over multi-dimensional constrained sets that have a small implied measure under the Gaussian copula... (read more)

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