Joshua C. C. Chan

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We consider the problem of implementing simple and efficient Markov chain Monte Carlo (MCMC) estimation algorithms for state space models. A conceptually transparent derivation of the posterior distribution of the states is discussed, which also leads to an efficient simulation algorithm that is modular, scalable, and widely applicable. We also discuss a(More)
The variance minimization (VM) and cross-entropy (CE) methods are two versatile adaptive importance sampling procedures that have been successfully applied to a wide variety of difficult rare-event estimation problems. We compare these two methods via various examples where the optimal VM and CE importance densities can be obtained analytically. We find(More)
The cross-entropy (CE) method is an adaptive importance sampling procedure that has been successfully applied to a diverse range of complicated simulation problems. However, recent research has shown that in some high-dimensional settings, the likelihood ratio degeneracy problem becomes severe and the importance sampling es-timator obtained from the CE(More)
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loans, bonds and other financial assets. One particular performance measure of interest is the probability of large portfolio losses over a fixed time horizon. We revisit the so-called t-copula that generalizes the popular normal copula to allow for extremal(More)
Estimation of rare-event probabilities in high-dimensional settings via importance sampling is a difficult problem due to the degeneracy of the likelihood ratio. In fact, it is generally recommended that Monte Carlo estimators involving likelihood ratios should not be used in such settings. In view of this, we develop efficient algorithms based on(More)
Time varying parameter (TVP) models have enjoyed an increasing popularity in empirical macroeconomics. However, TVP models are parameter-rich and risk over-…tting unless the dimension of the model is small. Motivated by this worry, this paper proposes several Time Varying dimension (TVD) models where the dimension of the model can change over time, allowing(More)
In some rare-event settings, exponentially twisted distributions perform very badly. One solution to this problem is to use mixture distributions. However, it is difficult to select a good mixture distribution for importance sampling. We here introduce a simple adaptive method for choosing good mixture importance sampling distributions.
Histone deacetylase inhibitors (HDACi) target abnormal epigenetic states associated with a variety of pathologies, including cancer. Here, the development of a prodrug of the canonical broad-spectrum HDACi suberoylanilide hydroxamic acid (SAHA) is described. Although hydroxamic acids are utilized universally in the development of metalloenzyme inhibitors,(More)