Improving the Asmussen–Kroese-Type Simulation Estimators (Q4903051): Difference between revisions
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| Property / cites work: Improved algorithms for rare event simulation with heavy tails / rank | |||
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| Property / cites work: On the efficiency of the Asmussen-Kroese-estimator and its application to stop-loss transforms / rank | |||
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| Property / cites work: Q3408861 / rank | |||
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Latest revision as of 03:19, 6 July 2024
scientific article; zbMATH DE number 6127053
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Improving the Asmussen–Kroese-Type Simulation Estimators |
scientific article; zbMATH DE number 6127053 |
Statements
Improving the Asmussen–Kroese-Type Simulation Estimators (English)
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19 January 2013
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heavy-tailed random variable
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rare event
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efficient Monte Carlo estimation
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variance reduction
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conditioning
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stratification
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control variate
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stop-loss transform
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